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                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal ID" value="SWPC37MA3"/>
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                    </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>1.400000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-08-17</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-476.340000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>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="0.954200"/>
        <valUSD>-270019.350000</valUSD>
        <pctVal>-0.1382031</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>214483.180000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>30200000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-484502.530000</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>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FPKBB7CTR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.695400"/>
        <valUSD>-73.470000</valUSD>
        <pctVal>-0.0000376</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>201000.000000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>29947.110000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-10</settlementDt>
            <unrealizedAppr>-73.470000</unrealizedAppr>
          </fwdDeriv>
        </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 01/24 4.375</title>
        <cusip>05369AAF8</cusip>
        <identifiers>
          <isin value="US05369AAF84"/>
        </identifiers>
        <balance>54000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53068.440000</valUSD>
        <pctVal>0.0271619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FEKBBTWZ9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>-2625.560000</valUSD>
        <pctVal>-0.0013438</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>144928.190000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1010000.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>-2625.560000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FRKBB22P5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>-2867.030000</valUSD>
        <pctVal>-0.0014674</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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            <amtCurSold>330608.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2326157.890000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>-2867.030000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CSKBB2TLC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>51519.590000</valUSD>
        <pctVal>0.0263691</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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            <amtCurSold>6789866.990000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>1008169.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>51519.590000</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>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CTKBCH1VN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
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        <pctVal>0.0147265</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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            <amtCurSold>4004626.020000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>592999.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>28772.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CWKBB0FVL"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>3675.780000</valUSD>
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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">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <amtCurSold>415000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>62146.660000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>3675.780000</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>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FRKBB22MX"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.084700"/>
        <valUSD>2938.460000</valUSD>
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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">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <amtCurSold>2321446.720000</amtCurSold>
            <curSold>DKK</curSold>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FGKBBPJZL"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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            <amtCurSold>1595000.000000</amtCurSold>
            <curSold>CAD</curSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ROLLS-ROYCE PLC SNR SE ICE</title>
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          <isin value="EZ3TZXPR2J18"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>ROLLS-ROYCE PLC</issuerName>
                <issueTitle>ROLLS-ROYCE PLC</issueTitle>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-06-21</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-25204.930000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>16584.920000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22DGKBB99GT"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="20.349700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Royal Bank of Canada</counterpartyName>
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            <amtCurSold>2312574.720000</amtCurSold>
            <curSold>USD</curSold>
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        </derivativeInfo>
        <securityLending>
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        </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="21KEKBB0D6L"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.339300"/>
        <valUSD>12732.950000</valUSD>
        <pctVal>0.0065171</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>Royal Bank of Canada</counterpartyName>
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            <amtCurSold>5364684.610000</amtCurSold>
            <curSold>ZAR</curSold>
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            <unrealizedAppr>12732.950000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>E-MINI RUSS 2000  SEP22 XCME 20220916</title>
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          <ticker value="RTYU2"/>
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        <balance>35.000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Long</payOffProf>
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            <expDate>2022-09-16</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="ESU2"/>
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        <assetCat>DE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <payOffProf>Short</payOffProf>
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            <expDate>2022-09-16</expDate>
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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>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>SOCIETE GENERALE</counterpartyName>
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            <amtCurSold>8058519.000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ILS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FHKBBVGD6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.491400"/>
        <valUSD>-114596.780000</valUSD>
        <pctVal>-0.0586537</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>STANDARD CHARTERED BANK</counterpartyName>
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            <amtCurSold>3332247.610000</amtCurSold>
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            <amtCurPur>11234006.370000</amtCurPur>
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            <settlementDt>2022-07-15</settlementDt>
            <unrealizedAppr>-114596.780000</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>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FKKBBQPS3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
        <valUSD>-4709.730000</valUSD>
        <pctVal>-0.0024106</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
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            <amtCurSold>1515000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1172263.550000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>-4709.730000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BACARDI LIMITED</name>
        <lei>549300R32WTQNHNN5055</lei>
        <title>BACARDI LTD COMPANY GUAR 144A 05/28 4.7</title>
        <cusip>067316AF6</cusip>
        <identifiers>
          <isin value="US067316AF68"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197745.910000</valUSD>
        <pctVal>0.1012117</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAIN CAPITAL EURO 2018-2 DAC 18-2A</name>
        <lei>N/A</lei>
        <title>BAIN CAPITAL EURO CLO BCCE 2018 2A AR 144A</title>
        <cusip>ACI1WTQT3</cusip>
        <identifiers>
          <isin value="XS2326485898"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>508444.580000</valUSD>
        <pctVal>0.2602356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.74</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>N/A</name>
        <lei>N/A</lei>
        <title>317U911X8 PIMCO SWAPTION 0.0185 PUT USD 202403</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP000T444"/>
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        <balance>16200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>393491.520000</valUSD>
        <pctVal>0.2013995</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>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>NOMURA GLOBAL FINANCIAL PRODUCTS INC.</counterpartyName>
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                  <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="SWU019GF7"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>237971.520000</unrealizedAppr>
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        </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>317U912X7 PIMCO SWAPTION 0.028 PUT USD 2024031</title>
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        <balance>-31400000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-428208.080000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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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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                      <other otherDesc="Internal ID" value="SWU019GG5"/>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.800000"/>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.030000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-277510.130000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </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>
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        <identifiers>
          <isin value="US06051GAX79"/>
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        <balance>3539.840000</balance>
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        <curCd>USD</curCd>
        <valUSD>3403.300000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.4 01/15/20-10Y LCH</title>
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        <identifiers>
          <isin value="EZ4D312TX8Y1"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.821500"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.400000"/>
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            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>3800000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-800821.010000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 4.25 11/15/21-10Y LCH</title>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 2.487 12/07/21-30Y LCH</title>
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          <other otherDesc="Internal ID" value="SWU0SX492"/>
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        <curCd>USD</curCd>
        <valUSD>14570.030000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            </floatingPmntDesc>
            <terminationDt>2051-12-07</terminationDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS CAD 2.20000 12/18/19-30Y LCH</title>
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          <isin value="EZZF8BSQ3ZS9"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CAD-BA-CDOR 3M</indexName>
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            <swapFlag>Y</swapFlag>
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            </floatingPmntDesc>
            <terminationDt>2049-12-20</terminationDt>
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            <rcptCurCd>CAD</rcptCurCd>
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            <unrealizedAppr>-111236.780000</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>IRS CAD 2.75000 12/18/18-30Y CME</title>
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          <other otherDesc="Internal ID" value="SWU00RO10"/>
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        <balance>1.000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CAD-BA-CDOR 3M</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="CAD" fixedOrFloating="Fixed" fixedRt="2.750000"/>
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            <terminationDt>2048-12-18</terminationDt>
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            <curCd>CAD</curCd>
            <unrealizedAppr>-59813.530000</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>IRS CAD 2.75000 12/18/18-30Y LCH</title>
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        <identifiers>
          <isin value="EZYSDLR2RY71"/>
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        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CAD-BA-CDOR 3M</indexName>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2048-12-18</terminationDt>
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            <unrealizedAppr>-331322.460000</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>IRS EUR 0.25000 09/21/22-10Y LCH</title>
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          <other otherDesc="Internal ID" value="SWU01CCZ0"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>-1020910.550000</valUSD>
        <pctVal>-0.5225294</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="SWU01CCZ0-Euribor 6 Month ACT/360"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.250000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingPmntDesc>
            <terminationDt>2032-09-21</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-479861.260000</upfrontRcpt>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-541049.290000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            </floatingRecDesc>
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            <terminationDt>2052-09-23</terminationDt>
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            <unrealizedAppr>416696.460000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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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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        <identifiers>
          <isin value="US05952EAA47"/>
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        <balance>16217.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15176.970000</valUSD>
        <pctVal>0.0077680</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 0.37000 08/04/21-3Y LCH</title>
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        <curCd>USD</curCd>
        <valUSD>-716168.420000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.370000"/>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>-1451633.230000</valUSD>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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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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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SONIA O/N Deposit Rates Swap</indexName>
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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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <derivativeInfo>
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      <invstOrSec>
        <name>BANK OF AMERICA CORPORATION</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)SEP22 XCBT 20220921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYU2"/>
        </identifiers>
        <balance>-20.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13607.480000</valUSD>
        <pctVal>0.0069647</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="ADI22N4K8-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-09-21</expDate>
            <notionalAmt>-2366718.760000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13607.480000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 2YR NOTE (CBT) SEP22 XCBT 20220930</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TUU2"/>
        </identifiers>
        <balance>-70.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>87414.320000</valUSD>
        <pctVal>0.0447410</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="ADI23KL08-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-09-30</expDate>
            <notionalAmt>-14688242.240000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>87414.320000</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) SEP22 XCBT 20220930</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU2"/>
        </identifiers>
        <balance>-33.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19681.140000</valUSD>
        <pctVal>0.0100733</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="ADI22T953-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-09-30</expDate>
            <notionalAmt>-3699996.100000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>19681.140000</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) SEP22 XCBT 20220921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USU2"/>
        </identifiers>
        <balance>13.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-16163.640000</valUSD>
        <pctVal>-0.0082730</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="ADI22MT15-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-09-21</expDate>
            <notionalAmt>1795421.880000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-16163.640000</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 SEP22 XCBT 20220921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNU2"/>
        </identifiers>
        <balance>28.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-166114.840000</valUSD>
        <pctVal>-0.0850220</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="ADI22MS08-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-09-21</expDate>
            <notionalAmt>4288812.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-166114.840000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SEC 2003-D</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4</title>
        <cusip>05948XBV2</cusip>
        <identifiers>
          <isin value="US05948XBV29"/>
        </identifiers>
        <balance>775.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>773.990000</valUSD>
        <pctVal>0.0003961</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>3.98271</annualizedRt>
          <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-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>10833.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10723.950000</valUSD>
        <pctVal>0.0054888</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>2.63101</annualizedRt>
          <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>15318.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14965.970000</valUSD>
        <pctVal>0.0076600</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>2.56175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 05/29 VAR</title>
        <cusip>06738EBD6</cusip>
        <identifiers>
          <isin value="US06738EBD67"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196752.600000</valUSD>
        <pctVal>0.1007033</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.972</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAT 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>261000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>256222.880000</valUSD>
        <pctVal>0.1311417</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>
        <cusip>07333YAA6</cusip>
        <identifiers>
          <isin value="US07333YAA64"/>
        </identifiers>
        <balance>56847.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56963.420000</valUSD>
        <pctVal>0.0291554</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.4748</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>160052.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160460.830000</valUSD>
        <pctVal>0.0821282</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.58765</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 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"/>
        </identifiers>
        <balance>12557.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12094.000000</valUSD>
        <pctVal>0.0061900</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57244</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2004-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1</title>
        <cusip>07384M3D2</cusip>
        <identifiers>
          <isin value="US07384M3D25"/>
        </identifiers>
        <balance>877.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>842.000000</valUSD>
        <pctVal>0.0004310</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>2.74449</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 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>7674.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7521.000000</valUSD>
        <pctVal>0.0038494</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1</title>
        <cusip>07384MZQ8</cusip>
        <identifiers>
          <isin value="US07384MZQ85"/>
        </identifiers>
        <balance>5.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4.740000</valUSD>
        <pctVal>0.0000024</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>2.32066</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>
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          <isin value="US07384M4E98"/>
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        <balance>1143.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1090.870000</valUSD>
        <pctVal>0.0005583</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>2.96092</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2003-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2003 3 1A</title>
        <cusip>07386HCE9</cusip>
        <identifiers>
          <isin value="US07386HCE99"/>
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        <balance>937.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910.170000</valUSD>
        <pctVal>0.0004658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.044</annualizedRt>
          <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>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>
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          <isin value="US07386HYW59"/>
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        <balance>27083.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36561.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.12357</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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>
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          <isin value="US07386HWZ09"/>
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        <balance>244778.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218381.260000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-9</name>
        <lei>N/A</lei>
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          <isin value="US07386HXZ99"/>
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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>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.77137</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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>
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          <isin value="US073875AA49"/>
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        <balance>17722.080000</balance>
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        <curCd>USD</curCd>
        <valUSD>16246.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.96357</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>BEAR STEARNS ARM 2003-1</name>
        <lei>N/A</lei>
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        <cusip>07384MTM4</cusip>
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          <isin value="US07384MTM46"/>
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        <curCd>USD</curCd>
        <valUSD>5927.130000</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>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>BEAR STEARNS ARM TR 2004-3</name>
        <lei>N/A</lei>
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        <cusip>07384MR87</cusip>
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          <isin value="US07384MR877"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <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>
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          <isin value="US07384M2E17"/>
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        <curCd>USD</curCd>
        <valUSD>6124.490000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <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>
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          <isin value="US07384MSH69"/>
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        <valUSD>1144.490000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5</name>
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          <isin value="US073859AC47"/>
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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>BLACKROCK EUROPEAN CLO VII DAC 7A</name>
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        <identifiers>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>BROADCOM INC</name>
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      <invstOrSec>
        <name>CAIRN CLO IV BV 14-4A</name>
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        <name>CAIRN CLO X BV 18-10A</name>
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        <issuerCat>CORP</issuerCat>
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        <invCountry>CA</invCountry>
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        <name>CARNOW AUTO RECEIVABLES TRUST 2022-1A</name>
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        <issuerCat>CORP</issuerCat>
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        <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>CENTENE CORPORATION</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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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>
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          <isin value="US16162WPB99"/>
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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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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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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        <units>PA</units>
        <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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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORTGAGE FINANCE CORP 2006-S3</name>
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          <isin value="US16162XAA54"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORTGAGE FINANCE CORP 2006-S4</name>
        <lei>N/A</lei>
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          <isin value="US16162YAE59"/>
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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>
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          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASEFLEX TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>CHASEFLEX TRUST CFLX 2007 3 2A1</title>
        <cusip>16165AAD6</cusip>
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          <isin value="US16165AAD63"/>
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        <curCd>USD</curCd>
        <valUSD>185994.280000</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>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92357</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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>
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          <isin value="US17309TAC27"/>
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        <balance>2084338.990000</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>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-10</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA</title>
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          <isin value="US17313QAL23"/>
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        <curCd>USD</curCd>
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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>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AHL2</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC2</name>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-3</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-4</name>
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        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 4 A</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITY OF CHICAGO</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-51</name>
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        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2</title>
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          <isin value="US12668AKQ75"/>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1</title>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB</name>
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        <name>COUNTRYWIDE ASSET BACKED CERT 2007-QH1</name>
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        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4</name>
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        <name>COUNTRYWIDE ASSET-BACKED CERTS 2006-2</name>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-12</name>
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        <name>COUNTRYWIDE HOME LOANS 2004-15</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-22</name>
        <lei>N/A</lei>
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      <invstOrSec>
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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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        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-2</name>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10</name>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET</name>
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      <invstOrSec>
        <name>CROWN CASTLE INTERNATIONAL CORP (CCI)</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>CVS PASS-THROUGH TRUST</name>
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        <name>DEUTSCHE ALT-A SECURITIES INC 2006-AR1</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>EDISON INTERNATIONAL</name>
        <lei>549300I7ROF15MAEVP56</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>ENTERPRISE FLEET FINANCING LLC 2022-2</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>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>EQUINIX INC</name>
        <lei>549300EVUN2BTLJ3GT74</lei>
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          <isin value="US29444UBL98"/>
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        <balance>200000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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>EURO-GALAXY III CLO BV 13-3A</name>
        <lei>N/A</lei>
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        <cusip>ACI1W6FF5</cusip>
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          <isin value="XS2305240843"/>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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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>
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          <isin value="XS0290416527"/>
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        <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>
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        <securityLending>
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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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        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
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        <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>
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        <securityLending>
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      <invstOrSec>
        <name>EXELON CORPORATION</name>
        <lei>3SOUA6IRML7435B56G12</lei>
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          <isin value="US30161NAX93"/>
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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>2030-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>EXETER AUTOMOBILE RECEIVABLES TRUST 2022-3A</name>
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        <cusip>30166YAA0</cusip>
        <identifiers>
          <isin value="US30166YAA01"/>
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        <curCd>USD</curCd>
        <valUSD>1199400.480000</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>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.865</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>
        <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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        <identifiers>
          <isin value="US30212PAS48"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103116.300000</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>2025-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </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"/>
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        <balance>76941.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76793.010000</valUSD>
        <pctVal>0.0393047</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>2.03357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2006-115</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 115 ES</title>
        <cusip>31396LT26</cusip>
        <identifiers>
          <isin value="US31396LT267"/>
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        <balance>17926.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21936.800000</valUSD>
        <pctVal>0.0112278</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>20.0657</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>FANNIE MAE 2006-16</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 16 SM</title>
        <cusip>31394V6K1</cusip>
        <identifiers>
          <isin value="US31394V6K15"/>
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        <balance>312451.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32768.500000</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>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.07643</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>FANNIE MAE 2007-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 63 FC</title>
        <cusip>31396WTU0</cusip>
        <identifiers>
          <isin value="US31396WTU08"/>
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        <balance>9909.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9846.150000</valUSD>
        <pctVal>0.0050395</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>1.97357</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>FANNIE MAE 2007-65</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 65 KF</title>
        <cusip>31396WLX2</cusip>
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          <isin value="US31396WLX29"/>
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        <balance>16449.410000</balance>
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        <curCd>USD</curCd>
        <valUSD>16369.690000</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>2.00357</annualizedRt>
          <isDefault>N</isDefault>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2007-96</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 96 AF</title>
        <cusip>31396XNT7</cusip>
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          <isin value="US31396XNT71"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>141863.950000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34357</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>FANNIE MAE 2010-151</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 151 YF</title>
        <cusip>31397QW61</cusip>
        <identifiers>
          <isin value="US31397QW615"/>
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        <balance>30287.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30541.270000</valUSD>
        <pctVal>0.0156318</pctVal>
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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>
          <annualizedRt>2.22357</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2011-17</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 17 KS</title>
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        <identifiers>
          <isin value="US31397QZU56"/>
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        <balance>763697.330000</balance>
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        <curCd>USD</curCd>
        <valUSD>84614.000000</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>4.22643</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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>35312.890000</balance>
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        <curCd>USD</curCd>
        <valUSD>35205.570000</valUSD>
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        <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>
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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>
      <invstOrSec>
        <name>FANNIE MAE-ACES 2020-M33</name>
        <lei>N/A</lei>
        <title>FANNIEMAE ACES FNA 2020 M33 X2</title>
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          <isin value="US3136BBAR38"/>
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        <balance>470110.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55197.820000</valUSD>
        <pctVal>0.0282517</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>2.3581</annualizedRt>
          <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"/>
        </identifiers>
        <balance>6121.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6047.030000</valUSD>
        <pctVal>0.0030950</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>1.35571</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72201W1541"/>
        </identifiers>
        <balance>14842.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144036.060000</valUSD>
        <pctVal>0.0737215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 03/24 5.584</title>
        <cusip>345397ZQ9</cusip>
        <identifiers>
          <isin value="US345397ZQ92"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199376.000000</valUSD>
        <pctVal>0.1020460</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.584</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375</title>
        <cusip>345397B28</cusip>
        <identifiers>
          <isin value="US345397B280"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>180724.000000</valUSD>
        <pctVal>0.0924994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2764</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2764 ZG</title>
        <cusip>31394TYD1</cusip>
        <identifiers>
          <isin value="US31394TYD17"/>
        </identifiers>
        <balance>102165.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107882.200000</valUSD>
        <pctVal>0.0552170</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-15</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>FREDDIE MAC 3181</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3181 PS</title>
        <cusip>31396URJ1</cusip>
        <identifiers>
          <isin value="US31396URJ15"/>
        </identifiers>
        <balance>409351.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50892.090000</valUSD>
        <pctVal>0.0260479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.146</annualizedRt>
          <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>198713.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201011.170000</valUSD>
        <pctVal>0.1028829</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>2.024</annualizedRt>
          <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>114028.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115430.030000</valUSD>
        <pctVal>0.0590802</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>2.044</annualizedRt>
          <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>119001.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120476.670000</valUSD>
        <pctVal>0.0616632</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>2.044</annualizedRt>
          <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>33149.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33544.260000</valUSD>
        <pctVal>0.0171689</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>2.034</annualizedRt>
          <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>245000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>261871.880000</valUSD>
        <pctVal>0.1340331</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>69051.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72870.660000</valUSD>
        <pctVal>0.0372972</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-3136</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3136 NS</title>
        <cusip>31396NH41</cusip>
        <identifiers>
          <isin value="US31396NH417"/>
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        <balance>73257.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6431.410000</valUSD>
        <pctVal>0.0032918</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>5.376</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>FREDDIE MAC-3289</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3289 FG</title>
        <cusip>31397FNM0</cusip>
        <identifiers>
          <isin value="US31397FNM04"/>
        </identifiers>
        <balance>141418.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140831.230000</valUSD>
        <pctVal>0.0720812</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>1.704</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>FREED ABS TRUST 2022-3FP</name>
        <lei>N/A</lei>
        <title>FREEDOM FINANCIAL FREED 2022 3FP A 144A</title>
        <cusip>35634EAA7</cusip>
        <identifiers>
          <isin value="US35634EAA73"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899982.540000</valUSD>
        <pctVal>0.4606352</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-20</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>FREMONT HOME LOAN TRUST 2005-E</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2005 E 2A4</title>
        <cusip>35729PNC0</cusip>
        <identifiers>
          <isin value="US35729PNC04"/>
        </identifiers>
        <balance>284870.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>276640.360000</valUSD>
        <pctVal>0.1415920</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.28357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-B</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 B 2A3</title>
        <cusip>35729QAD0</cusip>
        <identifiers>
          <isin value="US35729QAD07"/>
        </identifiers>
        <balance>4314112.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1602105.940000</valUSD>
        <pctVal>0.8200008</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>1.78357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GENERAL MOTORS FINANCIAL COMPANY INC</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 5 JUMBOS</title>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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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>426055.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>420858.260000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2068-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.85652</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2</name>
        <lei>N/A</lei>
        <title>GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A</title>
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        <identifiers>
          <isin value="US39809LAA26"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>986310.870000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.504</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP TRUST 2018-HULA</name>
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        <title>GS MORTGAGE SECURITIES TRUST GSMS 2018 HULA A 144A</title>
        <cusip>36259AAA7</cusip>
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          <isin value="US36259AAA79"/>
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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>2.244</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-9</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 9 A2</title>
        <cusip>362382AE3</cusip>
        <identifiers>
          <isin value="US362382AE30"/>
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        <balance>276799.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69428.160000</valUSD>
        <pctVal>0.0355352</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>1.86357</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>GSAMP TRUST 2007-FM1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM1 A2C</title>
        <cusip>3622MAAD3</cusip>
        <identifiers>
          <isin value="US3622MAAD33"/>
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        <balance>1348927.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>715794.760000</valUSD>
        <pctVal>0.3663630</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>1.79357</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A2A</title>
        <cusip>3622MGAB4</cusip>
        <identifiers>
          <isin value="US3622MGAB47"/>
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        <balance>655181.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>348228.040000</valUSD>
        <pctVal>0.1782325</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>1.67357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR6</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1</title>
        <cusip>362341RX9</cusip>
        <identifiers>
          <isin value="US362341RX95"/>
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        <balance>1820.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1772.900000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1</title>
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        <identifiers>
          <isin value="US362341WZ88"/>
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        <balance>8787.800000</balance>
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        <curCd>USD</curCd>
        <valUSD>8746.700000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.04852</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <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>1043936.110000</balance>
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        <curCd>USD</curCd>
        <valUSD>530295.220000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-1F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4</title>
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          <isin value="US3622MPAN83"/>
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        <curCd>USD</curCd>
        <valUSD>50050.970000</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>Fixed</couponKind>
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          <isDefault>Y</isDefault>
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      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-4F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A1</title>
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          <isin value="US362669AK93"/>
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        <balance>3130.640000</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>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
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      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-4F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8</title>
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          <isin value="US362669BJ12"/>
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        <balance>277887.930000</balance>
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        <curCd>USD</curCd>
        <valUSD>207928.640000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
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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>
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          <isin value="US36228FNB84"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204.120000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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>
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        <identifiers>
          <isin value="US41161PLR28"/>
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        <balance>859949.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>792361.930000</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>2.05229</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 2005-3</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A</title>
        <cusip>41161PMG5</cusip>
        <identifiers>
          <isin value="US41161PMG53"/>
        </identifiers>
        <balance>224310.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214113.690000</valUSD>
        <pctVal>0.1095891</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.09229</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-11</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A</title>
        <cusip>41162GAA0</cusip>
        <identifiers>
          <isin value="US41162GAA04"/>
        </identifiers>
        <balance>36536.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31804.890000</valUSD>
        <pctVal>0.0162786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95229</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-12</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13</title>
        <cusip>41162DAD1</cusip>
        <identifiers>
          <isin value="US41162DAD12"/>
        </identifiers>
        <balance>575875.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>543936.010000</valUSD>
        <pctVal>0.2784010</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.85229</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-3</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A</title>
        <cusip>41161QAD3</cusip>
        <identifiers>
          <isin value="US41161QAD34"/>
        </identifiers>
        <balance>284620.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>178215.630000</valUSD>
        <pctVal>0.0912155</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>3.53299</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>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"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>716569.840000</valUSD>
        <pctVal>0.3667597</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>0.64</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XXI DAC 21A</name>
        <lei>N/A</lei>
        <title>HARVEST CLO HARVT 21A A1R 144A</title>
        <cusip>ACI1WSV44</cusip>
        <identifiers>
          <isin value="XS2326512618"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>605483.610000</valUSD>
        <pctVal>0.3099028</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>0.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>404280CP2</cusip>
        <identifiers>
          <isin value="US404280CP20"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>168162.710000</valUSD>
        <pctVal>0.0860702</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 SR UNSECURED 03/26 4.3</title>
        <cusip>404280AW9</cusip>
        <identifiers>
          <isin value="US404280AW98"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>198271.820000</valUSD>
        <pctVal>0.1014808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.3</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 03/30 4.95</title>
        <cusip>404280CF4</cusip>
        <identifiers>
          <isin value="US404280CF48"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197781.610000</valUSD>
        <pctVal>0.1012299</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>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>3730992.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1205794.090000</valUSD>
        <pctVal>0.6171578</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>1.84357</annualizedRt>
          <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>714361.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>508116.420000</valUSD>
        <pctVal>0.2600676</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>1.80357</annualizedRt>
          <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>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187699.400000</valUSD>
        <pctVal>0.0960696</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>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>16342.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13424.280000</valUSD>
        <pctVal>0.0068709</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>2.26357</annualizedRt>
          <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>575849.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545340.890000</valUSD>
        <pctVal>0.2791201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.23595</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2006-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>317279.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>295148.490000</valUSD>
        <pctVal>0.1510649</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>1.80357</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 2006-E</name>
        <lei>N/A</lei>
        <title>INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A4</title>
        <cusip>43709XAF8</cusip>
        <identifiers>
          <isin value="US43709XAF87"/>
        </identifiers>
        <balance>120300.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83440.460000</valUSD>
        <pctVal>0.0427071</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>1.83357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTERCONTINENTAL HOTELS GROUP PLC</name>
        <lei>2138007ZFQYRUSLU3J98</lei>
        <title>INTERCONTINENTAL HOTELS COMPANY GUAR REGS 05/27 2.125</title>
        <cusip>ACI168Q27</cusip>
        <identifiers>
          <isin value="XS1908370171"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>96637.550000</valUSD>
        <pctVal>0.0494617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</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>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"/>
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        <balance>212091.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210101.440000</valUSD>
        <pctVal>0.1075356</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>2.774</annualizedRt>
          <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"/>
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        <balance>278255.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>181706.990000</valUSD>
        <pctVal>0.0930025</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>3.0484</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE 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"/>
        </identifiers>
        <balance>269855.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136800.840000</valUSD>
        <pctVal>0.0700183</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>1.92357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-A4</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A4 1A1</title>
        <cusip>466247RN5</cusip>
        <identifiers>
          <isin value="US466247RN59"/>
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        <balance>8910.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8954.110000</valUSD>
        <pctVal>0.0045830</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>2.90408</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>JP MORGAN MORTGAGE TRUST 2005-S3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2</title>
        <cusip>466247ZP1</cusip>
        <identifiers>
          <isin value="US466247ZP16"/>
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        <balance>8958.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5043.280000</valUSD>
        <pctVal>0.0025813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L</title>
        <cusip>46628BAG5</cusip>
        <identifiers>
          <isin value="US46628BAG59"/>
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        <balance>140398.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113122.550000</valUSD>
        <pctVal>0.0578992</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99132</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>JP MORGAN MORTGAGE TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1</title>
        <cusip>46628BBC3</cusip>
        <identifiers>
          <isin value="US46628BBC37"/>
        </identifiers>
        <balance>22610.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17671.540000</valUSD>
        <pctVal>0.0090448</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90785</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>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"/>
        </identifiers>
        <balance>102982.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99581.880000</valUSD>
        <pctVal>0.0509687</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>2.55317</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>JP MORGAN MORTGAGE TRUST 2007-A2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1</title>
        <cusip>46630PAE5</cusip>
        <identifiers>
          <isin value="US46630PAE51"/>
        </identifiers>
        <balance>16747.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14681.950000</valUSD>
        <pctVal>0.0075146</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>2.97583</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>JP MORGAN MORTGAGE TRUST-2005-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1</title>
        <cusip>466247LZ4</cusip>
        <identifiers>
          <isin value="US466247LZ44"/>
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        <balance>341.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>327.110000</valUSD>
        <pctVal>0.0001674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49641</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>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"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
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        <pctVal>0.3179057</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>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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>17000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16483.040000</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>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>
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      </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>46000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42669.200000</valUSD>
        <pctVal>0.0218392</pctVal>
        <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>LAURELIN 2016-1 DAC 16-1A</name>
        <lei>N/A</lei>
        <title>LAURELIN BV LAUR 2016 1A ARR 144A</title>
        <cusip>ACI1WVS58</cusip>
        <identifiers>
          <isin value="XS2325722994"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>718846.810000</valUSD>
        <pctVal>0.3679251</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>0.72</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>LCCM 2021-FL2 TRUST</name>
        <lei>N/A</lei>
        <title>LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL2 A 144A</title>
        <cusip>50202KAA4</cusip>
        <identifiers>
          <isin value="US50202KAA43"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1176540.120000</valUSD>
        <pctVal>0.6021848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.524</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 2019-2</name>
        <lei>N/A</lei>
        <title>LENDINGCLUB RECEIVABLES TRUST LCRT 2019 2 A 144A</title>
        <cusip>52604MAA0</cusip>
        <identifiers>
          <isin value="US52604MAA09"/>
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        <balance>247774.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245799.400000</valUSD>
        <pctVal>0.1258067</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"/>
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        <balance>354834.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>350745.020000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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      </invstOrSec>
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        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS1</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>LEHMAN XS TRUST 2007-15N</name>
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          <isin value="US52524VAG41"/>
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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>LEHMAN XS TRUST 2007-16N</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5</name>
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          <isin value="US52605CAA18"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2005-2</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5</title>
        <cusip>542514KV5</cusip>
        <identifiers>
          <isin value="US542514KV50"/>
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        <curCd>USD</curCd>
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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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        <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>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4</title>
        <cusip>542514UL6</cusip>
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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>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <name>LUMINENT MORTGAGE TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>LUMINENT MORTGAGE TRUST LUM 2006 1 A1</title>
        <cusip>550279AM5</cusip>
        <identifiers>
          <isin value="US550279AM51"/>
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        <balance>138442.150000</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>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>M360 2021-CRE3 LLC</name>
        <lei>N/A</lei>
        <title>M360 2018 CRE1, LTD. M360 2021 CRE3 A 144A</title>
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          <isin value="US55379AAA25"/>
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        <balance>1100000.000000</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>
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          <maturityDt>2038-11-22</maturityDt>
          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>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>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91669.850000</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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          <maturityDt>2029-03-15</maturityDt>
          <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>MAGALLANES INC</name>
        <lei>549300DXR29GD4N0A520</lei>
        <title>MAGALLANES INC COMPANY GUAR 144A 03/32 4.279</title>
        <cusip>55903VAL7</cusip>
        <identifiers>
          <isin value="US55903VAL71"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357879.920000</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>
          <annualizedRt>4.279</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MAN GLG EURO CLO V DAC 5A</name>
        <lei>N/A</lei>
        <title>MAN GLG EURO CLO GLGE 5A A1R 144A</title>
        <cusip>ACI1WBHS4</cusip>
        <identifiers>
          <isin value="XS2313672177"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>717868.930000</valUSD>
        <pctVal>0.3674246</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.69</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>MASSACHUSETTS EDUC FINANCING AUTH 2008-1</name>
        <lei>N/A</lei>
        <title>MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1</title>
        <cusip>57563NAA6</cusip>
        <identifiers>
          <isin value="US57563NAA63"/>
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        <balance>55205.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55288.330000</valUSD>
        <pctVal>0.0282981</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.134</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>MASTR ADJUSTABLE RT MTGE TRUST 2005-6</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-FRE2</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-NC3</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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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>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MELLON RESIDENTIAL FUND CORP 2000-TBC3</name>
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          <isin value="US585525EN47"/>
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        <curCd>USD</curCd>
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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>
        <name>MERRILL LYNCH ALTERNATIVE NT 2007-A2</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>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH ALTERNATIVE NT 2007-A2</name>
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          <isin value="US59024FAF18"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVEST TR 2005-A7</name>
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          <isin value="US59020UH324"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVESTORS 2003-A3</name>
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          <isin value="US589929R265"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MF1 2022-FL9 LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>MFA LLC 2018-NPL1</name>
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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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        <securityLending>
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      <invstOrSec>
        <name>ACE SECURITIES CORP 2002-HE3</name>
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          <isin value="US004421BH52"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE5</name>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE1</name>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</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>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A1 144A</title>
        <cusip>61753VAA0</cusip>
        <identifiers>
          <isin value="US61753VAA08"/>
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        <balance>1310492.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>610440.540000</valUSD>
        <pctVal>0.3124398</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>1.75357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY DEAN WITTER CAP I2002-AM3</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 AM3 A3</title>
        <cusip>61746WWR7</cusip>
        <identifiers>
          <isin value="US61746WWR77"/>
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        <balance>185897.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182281.680000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60357</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>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"/>
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        <balance>2512.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1085.220000</valUSD>
        <pctVal>0.0005554</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>1.74357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE LN TR-2006-8AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4</title>
        <cusip>61749LAP6</cusip>
        <identifiers>
          <isin value="US61749LAP67"/>
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        <balance>7019.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6927.780000</valUSD>
        <pctVal>0.0035458</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>2.5352</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2006-16AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2</title>
        <cusip>617487AC7</cusip>
        <identifiers>
          <isin value="US617487AC74"/>
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        <balance>133683.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46679.710000</valUSD>
        <pctVal>0.0238919</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>1.96357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MTGE LN TR 2007-7AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3</title>
        <cusip>61754HAD4</cusip>
        <identifiers>
          <isin value="US61754HAD44"/>
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        <balance>150140.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54370.150000</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>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY RE-REMIC TRUST 2010-R4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A</title>
        <cusip>61759FAU5</cusip>
        <identifiers>
          <isin value="US61759FAU57"/>
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        <balance>111432.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106113.120000</valUSD>
        <pctVal>0.0543115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.64817</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2011-R2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A</title>
        <cusip>61760JAA8</cusip>
        <identifiers>
          <isin value="US61760JAA88"/>
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        <balance>95180.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59781.520000</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>2037-05-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.25</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORTGAGE EQUITY CONVER ASSET TR 2007-FF3</name>
        <lei>N/A</lei>
        <title>MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A</title>
        <cusip>61911GAA2</cusip>
        <identifiers>
          <isin value="US61911GAA22"/>
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        <balance>495864.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>484946.520000</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>2042-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.28</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>ADJUSTABLE RATE MORTAGE TRUST 2005-10</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1</title>
        <cusip>007036TD8</cusip>
        <identifiers>
          <isin value="US007036TD80"/>
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        <balance>498152.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>408788.140000</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>
          <annualizedRt>2.71719</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A</title>
        <cusip>64830TAD0</cusip>
        <identifiers>
          <isin value="US64830TAD00"/>
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        <balance>253964.310000</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>2059-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-5</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1</title>
        <cusip>007036LJ3</cusip>
        <identifiers>
          <isin value="US007036LJ33"/>
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        <valUSD>4624.560000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>Y</isDefault>
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      <invstOrSec>
        <name>NOMURA ASSET ACCEPTANCE CORP 2005-AP2</name>
        <lei>N/A</lei>
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        <identifiers>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NOMURA HOLDINGS INC</name>
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        <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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          <maturityDt>2030-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.103</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NOMURA HOME EQUITY LOAN INC 2006-AF1</name>
        <lei>N/A</lei>
        <title>NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4</title>
        <cusip>65535AAD6</cusip>
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        <balance>655639.230000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2006-3</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C</title>
        <cusip>66988WAD8</cusip>
        <identifiers>
          <isin value="US66988WAD83"/>
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        <balance>931059.820000</balance>
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        <curCd>USD</curCd>
        <valUSD>566920.560000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94357</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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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>15893477.440000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>1842264.430000</valUSD>
        <pctVal>0.9429204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC</name>
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        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-NPL2</name>
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          <isin value="US693971AA13"/>
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        <name>PRIME MORTGAGE TRUST 2006-1</name>
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      <invstOrSec>
        <name>RAAC SERIES 2006-SP3</name>
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        <name>RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A</name>
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        <name>RESIDENTIAL ACCREDIT LOANS 2007-QA2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2006-EMX7</name>
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      <invstOrSec>
        <name>SANTANDER UK GROUP HOLDINGS PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>SEC ASSET BACKED REC LLC 2006-FR4</name>
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        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2</name>
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      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERTS 2009-20E</name>
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        <name>SOUND POINT CLO IX LTD 2015-2A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1</name>
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        <name>SPRINT CORPORATION</name>
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        <name>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2</name>
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        <name>STRUCTURED ADJ RATE MTG LN 2004-19</name>
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        <name>STRUCTURED ADJ RATE MTG LN 2006-7</name>
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        <name>STRUCTURED ADJ RATE MTGE LOAN 2005-21</name>
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        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RATE MTG LN 2004-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2</title>
        <cusip>86359BGG0</cusip>
        <identifiers>
          <isin value="US86359BGG05"/>
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        <balance>2623.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2537.630000</valUSD>
        <pctVal>0.0012988</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.54301</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>STRUCTURED ARM LOAN TRUST 2005-19XS</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 2A1</title>
        <cusip>863579YU6</cusip>
        <identifiers>
          <isin value="US863579YU65"/>
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        <balance>1256.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1255.890000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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"/>
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        <balance>8865.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8560.670000</valUSD>
        <pctVal>0.0043816</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>2.29514</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>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"/>
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        <balance>3762.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3459.950000</valUSD>
        <pctVal>0.0017709</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>2.18357</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>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"/>
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        <balance>369724.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319016.660000</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>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08357</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>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"/>
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        <balance>120442.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118654.720000</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>1.75857</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-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>74215.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72814.700000</valUSD>
        <pctVal>0.0372685</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>1.96357</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 02/26 2.25</title>
        <cusip>87264ABR5</cusip>
        <identifiers>
          <isin value="US87264ABR59"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90175.320000</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>
          <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>
        <cusip>87264ABT1</cusip>
        <identifiers>
          <isin value="US87264ABT16"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166420.000000</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>
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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>
        <name>AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2022-2</name>
        <lei>N/A</lei>
        <title>AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2022 2 A1</title>
        <cusip>03065WAA3</cusip>
        <identifiers>
          <isin value="US03065WAA36"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1199601.240000</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>2023-06-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.192</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>THEOREM FUNDING TRUST 2022-1A</name>
        <lei>N/A</lei>
        <title>THEOREM FUNDING TRUST THRM 2022 1A A 144A</title>
        <cusip>88339XAA2</cusip>
        <identifiers>
          <isin value="US88339XAA28"/>
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        <balance>553842.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>543264.870000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1</title>
        <cusip>88522XAC5</cusip>
        <identifiers>
          <isin value="US88522XAC56"/>
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        <balance>41700.430000</balance>
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        <curCd>USD</curCd>
        <valUSD>40123.530000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
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        <cusip>88522XAE1</cusip>
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          <isin value="US88522XAE13"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 3 4A1</title>
        <cusip>88522XAG6</cusip>
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          <isin value="US88522XAG60"/>
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        <curCd>USD</curCd>
        <valUSD>1144.620000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>TIAA CLO IV LTD 2018-1A</name>
        <lei>N/A</lei>
        <title>TIAA CLO LTD TIA 2018 1A A2 144A</title>
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          <isin value="US88631YAE77"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>953737.100000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.76271</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UBS GROUP AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
        <title>UBS GROUP AG SR UNSECURED 144A 05/28 4.751</title>
        <cusip>902613AP3</cusip>
        <identifiers>
          <isin value="US902613AP31"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>693441.920000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.751</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020471</cusip>
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          <isin value="US01F0204713"/>
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        <balance>-2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1867343.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020679</cusip>
        <identifiers>
          <isin value="US01F0206791"/>
        </identifiers>
        <balance>-5900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5121937.500000</valUSD>
        <pctVal>-2.6215450</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-07-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022675</cusip>
        <identifiers>
          <isin value="US01F0226757"/>
        </identifiers>
        <balance>-3900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3508476.580000</valUSD>
        <pctVal>-1.7957324</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-07-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F042681</cusip>
        <identifiers>
          <isin value="US01F0426811"/>
        </identifiers>
        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2705167.960000</valUSD>
        <pctVal>1.3845775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-08-11</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>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>CASH MGMT BILL 09/22 0.00000</title>
        <cusip>912796XU8</cusip>
        <identifiers>
          <isin value="US912796XU84"/>
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        <balance>11500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11467360.820000</valUSD>
        <pctVal>5.8693029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-06</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>CASH MGMT BILL 10/22 0.00000</title>
        <cusip>912796YC7</cusip>
        <identifiers>
          <isin value="US912796YC77"/>
        </identifiers>
        <balance>11500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11445375.000000</valUSD>
        <pctVal>5.8580500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-04</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>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>CASH MGMT BILL 10/22 0.00000</title>
        <cusip>912796YF0</cusip>
        <identifiers>
          <isin value="US912796YF09"/>
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        <balance>10000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9935620.000000</valUSD>
        <pctVal>5.0853169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-25</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>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>CASH MGMT BILL 11/22 0.00000</title>
        <cusip>912796YG8</cusip>
        <identifiers>
          <isin value="US912796YG81"/>
        </identifiers>
        <balance>10100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10027752.480000</valUSD>
        <pctVal>5.1324728</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-01</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>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/22 0.00000</title>
        <cusip>912796K57</cusip>
        <identifiers>
          <isin value="US912796K576"/>
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        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2998851.390000</valUSD>
        <pctVal>1.5348926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-14</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>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/22 0.00000</title>
        <cusip>912796R68</cusip>
        <identifiers>
          <isin value="US912796R688"/>
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        <balance>4700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4699416.400000</valUSD>
        <pctVal>2.4052874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-07</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/22 0.00000</title>
        <cusip>912796S42</cusip>
        <identifiers>
          <isin value="US912796S421"/>
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        <balance>2600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2598541.110000</valUSD>
        <pctVal>1.3300031</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-21</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>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/22 0.00000</title>
        <cusip>912796X20</cusip>
        <identifiers>
          <isin value="US912796X207"/>
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        <balance>26000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25986772.510000</valUSD>
        <pctVal>13.3007274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-19</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>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 09/22 0.00000</title>
        <cusip>912796T66</cusip>
        <identifiers>
          <isin value="US912796T668"/>
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        <balance>10600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10572297.220000</valUSD>
        <pctVal>5.4111854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-01</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>
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      </invstOrSec>
      <invstOrSec>
        <name>UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A</name>
        <lei>N/A</lei>
        <title>UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A</title>
        <cusip>91680YAY7</cusip>
        <identifiers>
          <isin value="US91680YAY77"/>
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        <balance>191780.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188371.910000</valUSD>
        <pctVal>0.0964138</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VERIZON COMMUNICATIONS INC</name>
        <lei>2S72QS2UO2OESLG6Y829</lei>
        <title>VERIZON COMMUNICATIONS SR UNSECURED 03/51 3.55</title>
        <cusip>92343VGB4</cusip>
        <identifiers>
          <isin value="US92343VGB45"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80346.090000</valUSD>
        <pctVal>0.0411233</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-03-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.55</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>VICI PROPERTIES LP</name>
        <lei>254900X4QE7SGKQLLN38</lei>
        <title>VICI PROPERTIES LP SR UNSECURED 02/28 4.75</title>
        <cusip>925650AB9</cusip>
        <identifiers>
          <isin value="US925650AB99"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191262.000000</valUSD>
        <pctVal>0.0978930</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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>164000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164388.990000</valUSD>
        <pctVal>0.0841387</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 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>78790.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74452.810000</valUSD>
        <pctVal>0.0381069</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>3.12495</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 2A3</title>
        <cusip>92927XAE4</cusip>
        <identifiers>
          <isin value="US92927XAE40"/>
        </identifiers>
        <balance>39372.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36603.910000</valUSD>
        <pctVal>0.0187349</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>3.2127</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 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>19450.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17705.770000</valUSD>
        <pctVal>0.0090623</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>2.18357</annualizedRt>
          <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>1656746.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1460570.400000</valUSD>
        <pctVal>0.7475591</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>1.3559</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-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>20306.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18673.490000</valUSD>
        <pctVal>0.0095576</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-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>63568.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61596.270000</valUSD>
        <pctVal>0.0315266</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>1.82416</annualizedRt>
          <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>155458.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>141883.200000</valUSD>
        <pctVal>0.0726196</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-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>147982.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124768.600000</valUSD>
        <pctVal>0.0638599</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>1.2859</annualizedRt>
          <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>160.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155.760000</valUSD>
        <pctVal>0.0000797</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 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>698783.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>648132.020000</valUSD>
        <pctVal>0.3317314</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>1.2259</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>ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1</name>
        <lei>N/A</lei>
        <title>ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A</title>
        <cusip>03880XAA4</cusip>
        <identifiers>
          <isin value="US03880XAA46"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>583086.780000</valUSD>
        <pctVal>0.2984395</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.22924</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN 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"/>
        </identifiers>
        <balance>14401.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12905.620000</valUSD>
        <pctVal>0.0066054</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>3.41104</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN 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"/>
        </identifiers>
        <balance>497780.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>448522.690000</valUSD>
        <pctVal>0.2295659</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BK SEC TR 2006-AR19</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1</title>
        <cusip>949789AA9</cusip>
        <identifiers>
          <isin value="US949789AA94"/>
        </identifiers>
        <balance>102818.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99821.350000</valUSD>
        <pctVal>0.0510912</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>2.75098</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>WEYERHAEUSER COMPANY</name>
        <lei>08IRJODWFYBI7QWRGS31</lei>
        <title>WEYERHAEUSER CO SR UNSECURED 04/30 4</title>
        <cusip>962166BY9</cusip>
        <identifiers>
          <isin value="US962166BY91"/>
        </identifiers>
        <balance>82000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77271.570000</valUSD>
        <pctVal>0.0395497</pctVal>
        <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</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WP CAREY INC</name>
        <lei>54930042CRNE713E3Q67</lei>
        <title>WP CAREY INC SR UNSECURED 10/26 4.25</title>
        <cusip>92936UAE9</cusip>
        <identifiers>
          <isin value="US92936UAE91"/>
        </identifiers>
        <balance>245000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>241971.030000</valUSD>
        <pctVal>0.1238473</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARES EUROPEAN CLO 7A</name>
        <lei>N/A</lei>
        <title>ARES EURO CLO ARESE 7A A1RR 144A</title>
        <cusip>ACI1WSXP5</cusip>
        <identifiers>
          <isin value="XS2327427121"/>
        </identifiers>
        <balance>499092.340000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
        <valUSD>513604.530000</valUSD>
        <pctVal>0.2628766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>4542000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4542000.000000</valUSD>
        <pctVal>2.3247175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.4000000</repurchaseRt>
          <maturityDt>2022-07-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4638000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4632926.030000</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>J P MORGAN TERM REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="46699D001"/>
        </identifiers>
        <balance>50500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50500000.000000</valUSD>
        <pctVal>25.8472549</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="ZBUT11V806EZRVTWT807" name="J.P. MORGAN SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.4000000</repurchaseRt>
          <maturityDt>2022-07-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>59468000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>51588490.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <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>322157.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117815.410000</valUSD>
        <pctVal>0.0603011</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>1.73357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ABX.HE.AAA.06-2 SP BOA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC02J45"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7492.820000</valUSD>
        <pctVal>0.0038350</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BANK OF AMERICA CORPORATION</counterpartyName>
              <counterpartyLei>9DJT3UXIJIZJI4WXO774</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ABX.HE.AAA.06-2</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.110000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2046-05-26</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-558414.620000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2239548.020000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>565907.440000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>BONCER BONDS 03/23 1.4</title>
        <cusip>ACI1L3HY1</cusip>
        <identifiers>
          <isin value="ARARGE3208T6"/>
        </identifiers>
        <balance>39806056.260000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="261.580000"/>
        <valUSD>146631.720000</valUSD>
        <pctVal>0.0750500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.4</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FFKBBPQRS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
        <valUSD>-33333.610000</valUSD>
        <pctVal>-0.0170610</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>1318293.210000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1654000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>-33333.610000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FJKBBT14X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
        <valUSD>5876.460000</valUSD>
        <pctVal>0.0030077</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>1214602.100000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1571000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>5876.460000</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>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FNKBCBM9W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
        <valUSD>4848.220000</valUSD>
        <pctVal>0.0024814</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>1172125.060000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1515000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>4848.220000</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 DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FRKBBTSR0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>-8669.110000</valUSD>
        <pctVal>-0.0044371</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>978989.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6886893.920000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>-8669.110000</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>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FSKBBVN3N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.097600"/>
        <valUSD>-6157.600000</valUSD>
        <pctVal>-0.0031516</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>597455.760000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4196768.240000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>-6157.600000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BILLS 09/22 0.00000</title>
        <cusip>ACI24ZDF2</cusip>
        <identifiers>
          <isin value="ARARGE520BZ0"/>
        </identifiers>
        <balance>12800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="261.580000"/>
        <valUSD>42906.280000</valUSD>
        <pctVal>0.0219606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-30</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>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 07/30 VAR</title>
        <cusip>ACI1QL1T4</cusip>
        <identifiers>
          <isin value="ARARGE3209S6"/>
        </identifiers>
        <balance>497000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105612.500000</valUSD>
        <pctVal>0.0540553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-09</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FRKBBTSVF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.084700"/>
        <valUSD>8887.850000</valUSD>
        <pctVal>0.0045490</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>6872894.380000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>978989.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-01</settlementDt>
            <unrealizedAppr>8887.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FSKBBVNZ9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="7.084700"/>
        <valUSD>6284.230000</valUSD>
        <pctVal>0.0032164</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>4188284.370000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>597455.760000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-01</settlementDt>
            <unrealizedAppr>6284.230000</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 MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22DBKBCFT3K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.237800"/>
        <valUSD>-1514.630000</valUSD>
        <pctVal>-0.0007752</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>9999000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>492561.580000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-09</settlementDt>
            <unrealizedAppr>-1514.630000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 07/35 VAR</title>
        <cusip>ACI1QL1M9</cusip>
        <identifiers>
          <isin value="ARARGE3209T4"/>
        </identifiers>
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        <curCd>USD</curCd>
        <valUSD>69307.600000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>NUSS</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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            <amtCurSold>150967.350000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
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        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
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        <pctVal>-0.0167210</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>
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            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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            <amtCurPur>8485519.000000</amtCurPur>
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        </derivativeInfo>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="21KBKBCF0G3"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.339300"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>81851.000000</amtCurSold>
            <curSold>USD</curSold>
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        </derivativeInfo>
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      </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="21KCKBB6967"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.339300"/>
        <valUSD>-2110.180000</valUSD>
        <pctVal>-0.0010800</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>
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            <amtCurSold>86668.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1381617.920000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-08-16</settlementDt>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KCKBB696F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.339300"/>
        <valUSD>-1544.890000</valUSD>
        <pctVal>-0.0007907</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>85763.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1376067.340000</amtCurPur>
            <curPur>ZAR</curPur>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KDKBB53PP"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.476600"/>
        <valUSD>-3343.390000</valUSD>
        <pctVal>-0.0017112</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>101146.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1611458.070000</amtCurPur>
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            <settlementDt>2022-11-08</settlementDt>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KDKBB5N1V"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.339300"/>
        <valUSD>-2348.080000</valUSD>
        <pctVal>-0.0012018</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>81712.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1296753.100000</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>BOUGHT ZAR/SOLD USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="21KIKBBZ8F4"/>
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        <currencyConditional curCd="ZAR" exchangeRt="16.476600"/>
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        <pctVal>-0.0002549</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>
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            <amtCurSold>24218.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>390823.970000</amtCurPur>
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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 CAD/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="22FBKBBPTDT"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <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>
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            <amtCurSold>1653000.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <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>
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            <amtCurSold>64000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>50814.870000</amtCurPur>
            <curPur>USD</curPur>
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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>
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          <other otherDesc="Internal ID" value="22FJKBBTHCV"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <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>
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            <curSold>CAD</curSold>
            <amtCurPur>34799.170000</amtCurPur>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="22FOKBBQJZQ"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
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        <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>
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            <curSold>CAD</curSold>
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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>SOLD EUR/BOUGHT USD</title>
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        <identifiers>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.954200"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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            <curSold>EUR</curSold>
            <amtCurPur>309654.410000</amtCurPur>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
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        <identifiers>
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        <balance>1.000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
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            <amtCurPur>289528.390000</amtCurPur>
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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>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FTKBB0948"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.952500"/>
        <valUSD>32593.250000</valUSD>
        <pctVal>0.0166821</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>8485519.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>8941335.620000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-02</settlementDt>
            <unrealizedAppr>32593.250000</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 GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FAKBB4DZQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.821500"/>
        <valUSD>4207.430000</valUSD>
        <pctVal>0.0021535</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>99000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>124720.160000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>4207.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FUKBB98V7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.821100"/>
        <valUSD>-282.460000</valUSD>
        <pctVal>-0.0001446</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>99000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>120288.280000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-02</settlementDt>
            <unrealizedAppr>-282.460000</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>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>-5505.540000</valUSD>
        <pctVal>-0.0028179</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>9365.400000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>198000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-14870.940000</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>317562G00 PIMCO CDSOPT PUT USD 1.2 20220720</title>
        <cusip>OP001KDW0</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-163.500000</valUSD>
        <pctVal>-0.0000837</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX 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>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>560.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>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>2227.790000</valUSD>
        <pctVal>0.0011402</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>18107.440000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-15879.650000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317575GC6 PIMCO CDSOPT PUT USD 1.2 20220720</title>
        <cusip>OP001KY31</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-299.030000</valUSD>
        <pctVal>-0.0001531</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>
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            <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>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>304.970000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>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>-585.410000</valUSD>
        <pctVal>-0.0002996</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>661262.200000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>51000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-661847.610000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21DAKBCF58N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.487800"/>
        <valUSD>11247.520000</valUSD>
        <pctVal>0.0057568</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>
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            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>710080.000000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>214837.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-01</settlementDt>
            <unrealizedAppr>11247.520000</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 ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21FOKBCD364"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.487800"/>
        <valUSD>230386.200000</valUSD>
        <pctVal>0.1179178</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>10654350.000000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>3285135.050000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-01</settlementDt>
            <unrealizedAppr>230386.200000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EXELON GENERATION COMPANY LLC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0IV12"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1238.270000</valUSD>
        <pctVal>0.0006338</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CONSTELLATION ENERGY GENERATION LLC</issuerName>
                <issueTitle>EXELON GENERATION CO LLC SR UNSEC</issueTitle>
                <identifiers>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-21</terminationDt>
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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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      <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>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22EOKBB2ZMD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.233500"/>
        <valUSD>14641.180000</valUSD>
        <pctVal>0.0074937</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1435754.570000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>288983.070000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>14641.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FPKBBZFP5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.278700"/>
        <valUSD>2020.890000</valUSD>
        <pctVal>0.0010343</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1435754.570000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>274012.040000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-02</settlementDt>
            <unrealizedAppr>2020.890000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KEKBBSP6S"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="16.476600"/>
        <valUSD>2698.780000</valUSD>
        <pctVal>0.0013813</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>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1611458.070000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>100501.390000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-11-08</settlementDt>
            <unrealizedAppr>2698.780000</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 CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22FAKBB4317"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.287200"/>
        <valUSD>-24663.780000</valUSD>
        <pctVal>-0.0126236</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1290201.380000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1629000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-07-05</settlementDt>
            <unrealizedAppr>-24663.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>

    </explntrNotes>
    <signature>
      <ncom:dateSigned>2022-08-12</ncom:dateSigned>
      <ncom:nameOfApplicant>PIMCO Funds</ncom:nameOfApplicant>
      <ncom:signature>/s/ Bijal Parikh</ncom:signature>
      <ncom:signerName>Bijal Parikh</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
