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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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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          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GM FINANCIAL CONSUMER AUTOMOBILE RECEIVABLES TRUST 2023-3</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRESTLES CLO IV LTD 2021-4A</name>
        <lei>N/A</lei>
        <title>TRESTLES CLO LTD TREST 2021 4A A 144A</title>
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        <identifiers>
          <isin value="US89532WAA71"/>
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        <balance>2250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2244375.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.84354</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL BOUGHT USD 20240702</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LGKBCKNP5"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="BRL" exchangeRt="4.944400"/>
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        <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">
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            <amtCurSold>15600000.000000</amtCurSold>
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            <unrealizedAppr>-65365.740000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 976968 FN 02/38 FIXED 6</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GSAMP TRUST 2006-FM2</name>
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        <title>GSAMP TRUST GSAMP 2006 FM2 A2C</title>
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        <balance>2101730.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>748888.440000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.77043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR SOLD USD 20240320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LDKBB804V"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ARES EUROPEAN CLO XII BV 12A</name>
        <lei>N/A</lei>
        <title>ARES EURO CLO ARESE 12A AR 144A</title>
        <cusip>ACI20RGN4</cusip>
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          <isin value="XS2391578239"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 03/29 3.1</title>
        <cusip>80007RAQ8</cusip>
        <identifiers>
          <isin value="US80007RAQ83"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1047289.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE</title>
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        <identifiers>
          <isin value="US01F0506273"/>
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        <balance>34200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33852656.590000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 701305 FN 06/33 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31400YDJ29"/>
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        <balance>76777.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76937.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG41 5Y ICE</title>
        <cusip>000000000</cusip>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4152467.890000</valUSD>
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        <assetCat>DCR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>PIMCO FUNDS</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>QUANTA SERVICES INC</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>HYUNDAI AUTO RECEIVABLES TRUST 2023-B</name>
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      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY2</name>
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      <invstOrSec>
        <name>AMAZONCOM INC</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+26 RBC</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FIDELITY NATIONAL INFORMATION SERVICES INC</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>UBS GROUP AG</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <shareNo>N/A</shareNo>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
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      <invstOrSec>
        <name>PAGAYA AI DEBT TRUST 2022-6</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>VENTURE CLO LTD 2013-4A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3</name>
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      <invstOrSec>
        <name>HERTZ VEHICLE FINANCING III LLC 2023-1A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SCULPTOR EUROPEAN CLO V DAC 5A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2</name>
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        <securityLending>
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      <invstOrSec>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QA7</name>
        <lei>N/A</lei>
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        <cusip>751152AB5</cusip>
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        <curCd>USD</curCd>
        <valUSD>280994.070000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.84043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVESTORS 2003-A1</name>
        <lei>N/A</lei>
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        <cusip>589929F37</cusip>
        <identifiers>
          <isin value="US589929F377"/>
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        <balance>504.100000</balance>
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        <curCd>USD</curCd>
        <valUSD>460.890000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.29937</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>SANDS CHINA LTD</name>
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        <balance>1200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1006624.440000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ASSET BACKED SEC HOME EQTY LN 2004-HE3</name>
        <lei>N/A</lei>
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        <identifiers>
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        <balance>3065927.650000</balance>
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        <curCd>USD</curCd>
        <valUSD>3006294.740000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.28043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LOKBCFFMT"/>
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        <balance>1.000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23KTKBB597H"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23LMKBB8B77"/>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LMKBBRB5B"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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        <name>QUANTA SERVICES INC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE4</name>
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        <name>CAIRN CLO X BV 18-10A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS2</name>
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        <name>TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST</name>
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        <title>TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 C A2A</title>
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        <name>GNMA PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY BOUGHT USD 20240109</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <amtCurSold>83100000.000000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="TUH4"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
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      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-W4</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE INC</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE4</name>
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      <invstOrSec>
        <name>COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23IGKBBNQR5"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>HERTZ VEHICLE FINANCING LLC 2022-1A</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>339.360000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2</name>
        <lei>N/A</lei>
        <title>AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2023 2 A1</title>
        <cusip>03065UAA7</cusip>
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          <isin value="US03065UAA79"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-18</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXPEDIA GROUP INC</name>
        <lei>N/A</lei>
        <title>EXPEDIA GROUP INC COMPANY GUAR 144A 05/25 6.25</title>
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          <isin value="US30212PAS48"/>
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        <balance>176000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>177816.400000</valUSD>
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        <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>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN 52 EURO CLO 2017 17-52A</name>
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        <title>DRYDEN EURO CLO DRYD 2017 52A AR 144A</title>
        <cusip>ACI1YL2T4</cusip>
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          <isin value="XS2353412633"/>
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        <assetCat>ABS-CBDO</assetCat>
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        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF BOUGHT USD 20240109</title>
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          <other otherDesc="Internal ID" value="23KSKBBTLRN"/>
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        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RVPO STATE STREET GLOBAL MARKE USD RVPO FICC SSGM</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2007-96</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 96 AF</title>
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        <balance>91323.270000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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        <name>N/A</name>
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                    <name>N/A</name>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.590000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-10873.100000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2007-6</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2</title>
        <cusip>68403KAB1</cusip>
        <identifiers>
          <isin value="US68403KAB17"/>
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        <balance>2999250.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1908556.810000</valUSD>
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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>Floating</couponKind>
          <annualizedRt>5.60043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CO-2007-TC1</name>
        <lei>N/A</lei>
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        <cusip>86364GAD5</cusip>
        <identifiers>
          <isin value="US86364GAD51"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4752959.090000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <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>MERRILL LYNCH MORTGAGE INVS 2005-A10</name>
        <lei>N/A</lei>
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        <cusip>59020UZ65</cusip>
        <identifiers>
          <isin value="US59020UZ656"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18144.790000</valUSD>
        <pctVal>0.0009884</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>5.89043</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>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="EZTL7PQ4TZ61"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Z9R1-Euribor 6 Month ACT/360"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="3.255000"/>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-1214.120000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-22510.030000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ANGLOGOLD ASHANTI HOLDINGS PLC</name>
        <lei>213800745ZIXC4L6A131</lei>
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        <cusip>03512TAF8</cusip>
        <identifiers>
          <isin value="US03512TAF84"/>
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        <balance>2600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2342263.640000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW BOUGHT USD 20240620</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LRKBB09KJ"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1282.774300"/>
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        <pctVal>0.0000037</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY7</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A1</title>
        <cusip>93364FAG6</cusip>
        <identifiers>
          <isin value="US93364FAG63"/>
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        <balance>4471383.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3871420.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.10569</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-NC2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A</title>
        <cusip>61753NAA8</cusip>
        <identifiers>
          <isin value="US61753NAA81"/>
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        <balance>1744674.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1546596.600000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.60043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+29 RBC</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01UXC8"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20200.070000</valUSD>
        <pctVal>0.0011004</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Royal Bank of Canada</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="29.000000" pmntAmt="0.000000">
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+41 RBC</title>
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          <other otherDesc="Internal ID" value="SWU01Z6M5"/>
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        <curCd>USD</curCd>
        <valUSD>94715.900000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Royal Bank of Canada</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="41.000000" pmntAmt="0.000000">
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM34 ICE</title>
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        <curCd>USD</curCd>
        <valUSD>-82785.020000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE5</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1</title>
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          <isin value="US61753KAA43"/>
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        <balance>8472793.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3389362.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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          <isin value="US44963BAD01"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2004-W9</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2004 W9 M1</title>
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          <isin value="US040104LB54"/>
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        <balance>654403.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>665191.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.34043</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>DEUTSCHE ALT-A SEC INC MTGE LO 2005-1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4</title>
        <cusip>251510DG5</cusip>
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          <isin value="US251510DG50"/>
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        <balance>111766.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>104820.480000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA AUTO TRUST 2023-1A</name>
        <lei>N/A</lei>
        <title>BANK OF AMERICA AUTO TRUST BAAT 2023 1A A2 144A</title>
        <cusip>06428AAB4</cusip>
        <identifiers>
          <isin value="US06428AAB44"/>
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        <balance>6400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6410016.000000</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>2026-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.83</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AEGIS ASSET BACKED SECURITIES TR 2006-1</name>
        <lei>N/A</lei>
        <title>AEGIS ASSET BACKED SECURITIES AABST 2006 1 A3</title>
        <cusip>00764SAC8</cusip>
        <identifiers>
          <isin value="US00764SAC89"/>
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        <balance>314257.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>229800.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1</title>
        <cusip>362341XE4</cusip>
        <identifiers>
          <isin value="US362341XE41"/>
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        <balance>49120.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41083.260000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.57938</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARLETTE FUNDING TRUST 2022-3A</name>
        <lei>N/A</lei>
        <title>MARLETTE FUNDING TRUST MFT 2022 3A A 144A</title>
        <cusip>57109NAA7</cusip>
        <identifiers>
          <isin value="US57109NAA72"/>
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        <balance>1668679.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1664264.680000</valUSD>
        <pctVal>0.0906583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.18</annualizedRt>
          <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>RFR USD SOFR/3.75000 06/21/23-2Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZT7WRY43HJ4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3589727.010000</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>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01O3M3-USD-SOFR-COMPOUND"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>198300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-112951.100000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NELNET STUDENT LOAN TRUST 2023-AA</name>
        <lei>N/A</lei>
        <title>NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A</title>
        <cusip>64032PAA0</cusip>
        <identifiers>
          <isin value="US64032PAA03"/>
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        <balance>750046.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>751617.080000</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>2041-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.53774</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>N/A</name>
        <lei>N/A</lei>
        <title>RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01PGH7"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01PGH7-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="26.161000" pmntAmt="0.000000">
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RUSSIAN GOVT</name>
        <lei>5493004EHVGF71PDBU58</lei>
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        <cusip>X5424XBP2</cusip>
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          <isin value="RU000A0JXU22"/>
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        <curCd>USD</curCd>
        <valUSD>71000.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
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          <isin value="US11135FBK66"/>
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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>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM40 ICE</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4RAA6 PIMCO SWAPTION 2.7 PUT EUR 20240118</title>
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        <isRestrictedSec>N</isRestrictedSec>

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                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <cusip>000000000</cusip>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>VF CORPORATION</name>
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        <name>FANNIE MAE 2007-65</name>
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        <name>JACKSON NATIONAL LIFE GLOBAL FUNDING</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>BAYVIEW FINANCIAL ASSET TR 2007-SR1A</name>
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        <name>ING GROEP NV</name>
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        <name>KKR CLO LTD 18</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>AMERIQUEST MTAGE SEC INC 2004-R2</name>
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        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R2 M4</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>AREIT TRUST 2021-CRE5</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>2038752.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.29273</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>APPLE INC</name>
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        <curCd>USD</curCd>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
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        <invCountry>DE</invCountry>
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        <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>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-HE5</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8</name>
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        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1</title>
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        <name>UNITED STATES GOVT</name>
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        <securityLending>
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      <invstOrSec>
        <name>WMALT MTGE PASS-THRU CERT 2006-AR9</name>
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        <securityLending>
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      <invstOrSec>
        <name>CARRIER GLOBAL CORPORATION</name>
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        <name>SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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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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          <swapDeriv derivCat="SWP">
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>FANNIE MAE 2005-79</name>
        <lei>N/A</lei>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNH SOLD USD 20240326</title>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-BUND FUTURE  MAR24 XEUR 20240307</title>
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        <invCountry>DE</invCountry>
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        <fairValLevel>1</fairValLevel>
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            <expDate>2024-03-07</expDate>
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        <securityLending>
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      <invstOrSec>
        <name>CIT MTGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-2</name>
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        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A</title>
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        <curCd>USD</curCd>
        <valUSD>487383.080000</valUSD>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR SOLD USD 20240320</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 12/20/23-7Y CME</title>
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      <invstOrSec>
        <name>GSR MTGE LOAN TRUST 2004-7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1</title>
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        <curCd>USD</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A</title>
        <cusip>92925CCC4</cusip>
        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>2534493.490000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC 3355</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>59764.540000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR SOLD USD 20240320</title>
        <cusip>000000000</cusip>
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        <payoffProfile>N/A</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2005-KS10</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>BACARDI-MARTINI BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-23</name>
        <lei>N/A</lei>
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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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        <securityLending>
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      <invstOrSec>
        <name>AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC</name>
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      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240103</title>
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      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2005-D</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/1.75000 06/15/22-2Y CME</title>
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        <curCd>USD</curCd>
        <valUSD>-2570333.980000</valUSD>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FIRST NLC TRUST 2005-4</name>
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      <invstOrSec>
        <name>ACHV ABS TRUST 2023-4CP</name>
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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>COUNTRYWIDE ALT LOAN TRUST 2003-J2</name>
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        <securityLending>
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      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE-2005-75</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>SYMPHONY STATIC CLO 2021-1A</name>
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        <name>ACE SECURITIES CORP 2004-FM1</name>
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        <name>FANNIE MAE 2003-25</name>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1</title>
        <cusip>12667FWU5</cusip>
        <identifiers>
          <isin value="US12667FWU55"/>
        </identifiers>
        <balance>2241439.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2009595.100000</valUSD>
        <pctVal>0.10947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>VW CREDIT INC</name>
        <lei>549300UUPJ2NXDB68M19</lei>
        <title>VW CR INC</title>
        <cusip>91842JA41</cusip>
        <identifiers>
          <isin value="US91842JA410"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299728.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-04</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3414 FN 07/48 FIXED 3.5</title>
        <cusip>31418CYL2</cusip>
        <identifiers>
          <isin value="US31418CYL26"/>
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        <balance>277225.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>258771.420000</valUSD>
        <pctVal>0.0140962</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.25000 06/21/23-5Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZPYXXFCNY32"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1987510.080000</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01NXP5-USD-SOFR-COMPOUND"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.250000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>82500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1717955.220000</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>IRS EUR 2.88000 12/19/23-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ03TZR1MF70"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>-26539.650000</valUSD>
        <pctVal>-0.0014457</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>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01ZZX9-Euribor 6 Month ACT/360"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.880000"/>
            <terminationDt>2028-12-19</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-2248.960000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-24290.690000</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>317U4QFA3 PIMCO SWAPTION 3.55 CALL USD 2024011</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0030QV0"/>
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        <balance>-900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-11552.040000</valUSD>
        <pctVal>-0.0006293</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>Wells Fargo Bank, National Association</counterpartyName>
              <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Wells Fargo Bank, National Association</counterpartyName>
                    <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.55000 01/18/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZX29"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal_ID" value="SWU01ZX29"/>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3.550000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-7625.790000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ACHV ABS TRUST 2023-4CP</name>
        <lei>N/A</lei>
        <title>ACHV ABS TRUST ACHV 2023 4CP A 144A</title>
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        <identifiers>
          <isin value="US00092CAA09"/>
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        <balance>1267397.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1269135.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AT&amp;T INC SNR S* ICE</title>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>22927.110000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>INTERCONTINENTAL EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AT&amp;T INC</issuerName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2004-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF</title>
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          <isin value="US31393XGV38"/>
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        <balance>25358.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25343.110000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HUF BOUGHT USD 20240104</title>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2007-QA1</name>
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        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3</title>
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        <balance>1013734.260000</balance>
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        <curCd>USD</curCd>
        <valUSD>862649.330000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>EXPEDIA GROUP INC</name>
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        <curCd>USD</curCd>
        <valUSD>298819.150000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD BOUGHT USD 20240109</title>
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          <other otherDesc="Internal ID" value="23KUKBB6KNN"/>
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        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23KLKBBNSNV"/>
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        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2005-27</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3</title>
        <cusip>12667GN58</cusip>
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          <isin value="US12667GN580"/>
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        <balance>3968470.510000</balance>
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        <curCd>USD</curCd>
        <valUSD>3594291.760000</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>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W4</name>
        <lei>N/A</lei>
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          <isin value="US040104PT27"/>
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        <balance>5394494.700000</balance>
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        <curCd>USD</curCd>
        <valUSD>4183806.640000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.23043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CREDIT BASED ASSET SRVC &amp; SEC 2006-CB6</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2006 CB6 A24</title>
        <cusip>14986PAE3</cusip>
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          <isin value="US14986PAE34"/>
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        <balance>1544909.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1421889.520000</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>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97043</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>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED REGS 03/25 VAR</title>
        <cusip>ACI14S007</cusip>
        <identifiers>
          <isin value="XS1875275205"/>
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        <balance>1000000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
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          <isin value="US912828WU04"/>
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        <balance>19695400.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>19358673.850000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.125</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>N/A</name>
        <lei>N/A</lei>
        <title>317U4P3A8 PIMCO SWAPTION 3.489 CALL USD 202401</title>
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          <other otherDesc="Internal ID" value="OP0030DP7"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2022-A</name>
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          <isin value="US78450FAA57"/>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP BOUGHT USD 20240109</title>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-4</name>
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        <title>BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GLOBAL PAYMENTS INC</name>
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        <title>GLOBAL PMTS INC 01/24 ZCP</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW BOUGHT USD 20240620</title>
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      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>NYO COMMERCIAL MORTGAGE TRUST 2021-1290</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240103</title>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS5</name>
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        <securityLending>
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      <invstOrSec>
        <name>OZLM XXIV LTD 2019-24A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BPCRE HOLDER LLC 2022-FL2</name>
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      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2001-HE17</name>
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        <name>SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-3</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>SEC ASSET BACKED REC LLC 2006-FR3</name>
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      <invstOrSec>
        <name>N/A</name>
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        <balance>1.000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>52674000.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL BOUGHT USD 20240202</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23JNKBCBX36"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.865500"/>
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        <pctVal>-0.0000487</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">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>91834.130000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US31368HMV23"/>
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        <balance>22463.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23473.870000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31406LHL53"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13497.680000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VICI PROPERTIES LP</name>
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          <isin value="US925650AB99"/>
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        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2644884.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-OA5</name>
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        <identifiers>
          <isin value="US93364BAA89"/>
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        <balance>2312995.890000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HUNGARY GOVT</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>HU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A</title>
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        <identifiers>
          <isin value="US929227XB72"/>
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        <curCd>USD</curCd>
        <valUSD>4207.140000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
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          <isin value="US87264ABV61"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1395357.300000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36265NAB91"/>
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        <balance>1839457.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1833095.020000</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>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TAURUS 2021-1 UK DAC 21-UK1A</name>
        <lei>N/A</lei>
        <title>TAURUS CMBS TAURS 2021 UK1A A 144A</title>
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        <identifiers>
          <isin value="XS2303818954"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.784500"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AMD US TRS EQUITY FEDL01+73 FAR</title>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LMKBCJM6L"/>
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      <invstOrSec>
        <name>LIBERTY LENDING ABS TRUST 2022-1A</name>
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        <title>REACH FINANCIAL LLC REACH 2022 1A A 144A</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH BOUGHT USD 20240326</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
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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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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>LCM LP 13A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>CIM TRUST 2023-R2</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>BLACK DIAMOND CLO 2019-1 DAC 19-1A</name>
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      <invstOrSec>
        <name>PROVIDUS CLO II DAC 2A</name>
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          <isin value="XS2323296538"/>
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        <name>N/A</name>
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        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS4</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL</name>
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      <invstOrSec>
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        <name>CITIGROUP MTGE LOAN TR INC 2007-10</name>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB</name>
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      <invstOrSec>
        <name>KKR CLO LTD 18</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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        <name>MF1 2022-FL8 LTD</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>TIKEHAU CLO BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>JP MORGAN MORTGAGE TRUST 2006-A2</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4</title>
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          <isin value="US23246BAK70"/>
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        <curCd>USD</curCd>
        <valUSD>982636.580000</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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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FAIRFAX FINANCIAL HOLDINGS LIMITED</name>
        <lei>GLS7OQD0WOEDI8YAP031</lei>
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          <isin value="XS1794675931"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CONAGRA BRANDS INC</name>
        <lei>54930035UDEIH090K650</lei>
        <title>CONAGRA FOODS INC.</title>
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          <isin value="US20600GAJ58"/>
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        <balance>1150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1146255.370000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-18</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</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>AVOLON HOLDINGS FUNDING LTD</name>
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          <isin value="US05401AAR23"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>766248.020000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.528</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AT&amp;T INC SNR S* ICE</title>
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          <other otherDesc="Internal ID" value="SWPC0LX54"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6302.560000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>INTERCONTINENTAL EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AT&amp;T INC</issuerName>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR SOLD USD 20240320</title>
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          <other otherDesc="Internal ID" value="23LNKBB9C3C"/>
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        <currencyConditional curCd="INR" exchangeRt="83.508000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <settlementDt>2024-03-20</settlementDt>
            <unrealizedAppr>-1026.750000</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>RFR USD SOFR/4.25500 10/23/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YJ51"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>50298.000000</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>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.255000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>53128.000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NISSAN MOTOR CO LTD</name>
        <lei>353800DRBDH1LUTNAY26</lei>
        <title>NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522</title>
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        <identifiers>
          <isin value="US654744AB77"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>770565.620000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.522</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>CARVANA AUTO RECEIVABLES TRUST 2021-P2</name>
        <lei>N/A</lei>
        <title>CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 P2 A4</title>
        <cusip>14687TAD9</cusip>
        <identifiers>
          <isin value="US14687TAD90"/>
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        <balance>2300000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2170375.220000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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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>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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                    <lei>N/A</lei>
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                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2.310000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2024-01-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>477.130000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2006-HE1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1</title>
        <cusip>00075WAA7</cusip>
        <identifiers>
          <isin value="US00075WAA71"/>
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        <balance>1918709.460000</balance>
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        <curCd>USD</curCd>
        <valUSD>1349502.040000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.60043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF CANADA</name>
        <lei>ES7IP3U3RHIGC71XBU11</lei>
        <title>ROYAL BANK OF CANADA</title>
        <cusip>7800Z8P20</cusip>
        <identifiers>
          <isin value="CA7800Z8P208"/>
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        <balance>1400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.325100"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A</title>
        <cusip>17307GW79</cusip>
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          <isin value="US17307GW795"/>
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        <balance>3863.560000</balance>
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        <curCd>USD</curCd>
        <valUSD>3758.060000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD SOLD USD 20240109</title>
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          <other otherDesc="Internal ID" value="23LMKBBRB0F"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240103</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LMKBB7TVC"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="BRL" exchangeRt="4.857600"/>
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        <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>Citibank, National Association</counterpartyName>
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            <amtCurSold>5385666.700000</amtCurSold>
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            <amtCurPur>26222811.160000</amtCurPur>
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            <settlementDt>2024-01-03</settlementDt>
            <unrealizedAppr>12639.290000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMORGAN CHASE + CO SR UNSECURED 04/27 VAR</title>
        <cusip>46647PCB0</cusip>
        <identifiers>
          <isin value="US46647PCB04"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1477137.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.578</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ARROW ELECTRONICS INC</name>
        <lei>549300YNNLBXT8N8R512</lei>
        <title>ARROW ELECTRONICS INC</title>
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        <identifiers>
          <isin value="US04273LAN55"/>
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        <balance>1050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1045800.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-22</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>NISSAN MOTOR CO LTD</name>
        <lei>353800DRBDH1LUTNAY26</lei>
        <title>NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81</title>
        <cusip>654744AD3</cusip>
        <identifiers>
          <isin value="US654744AD34"/>
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        <balance>4900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4583985.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.81</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>SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A</title>
        <cusip>83406TAB8</cusip>
        <identifiers>
          <isin value="US83406TAB89"/>
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        <balance>2613876.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2442240.780000</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>2046-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.54</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>GRIFONAS FINANCE NO.1 PLC GRIF-1</name>
        <lei>N/A</lei>
        <title>GRIFONAS FINANCE PLC GRIF 1 A REGS</title>
        <cusip>B1DFQWII3</cusip>
        <identifiers>
          <isin value="XS0262719320"/>
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        <balance>88386.090000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>95273.810000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.212</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4RKA5 PIMCO SWAPTION 3.344 CALL USD 202401</title>
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          <other otherDesc="Internal ID" value="OP00312H5"/>
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        <balance>-800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4032.160000</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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              <counterpartyName>UBS AG</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <name>N/A</name>
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                    <invCountry>US</invCountry>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3.340000</exercisePrice>
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            <unrealizedAppr>-132.360000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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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>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3.170000</exercisePrice>
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            <expDt>2024-01-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>833.840000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>OZLM XXIV LTD 2019-24A</name>
        <lei>N/A</lei>
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        <cusip>67113DBA1</cusip>
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          <isin value="US67113DBA19"/>
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        <balance>3700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3678958.210000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.12743</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-3743.060000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>CALIFORNIA STATE UNIVERSITY</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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      <invstOrSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        <name>CARVANA AUTO RECEIVABLES TRUST 2023-P5</name>
        <lei>N/A</lei>
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        <cusip>14687RAC5</cusip>
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          <isin value="US14687RAC51"/>
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        <balance>500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>505973.700000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-01-10</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2007-2AX</name>
        <lei>N/A</lei>
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        <cusip>61751TAB5</cusip>
        <identifiers>
          <isin value="US61751TAB52"/>
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        <balance>2200292.230000</balance>
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        <curCd>USD</curCd>
        <valUSD>780337.820000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZXTNBDDKS13"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                  <derivAddlInfo>
                    <name>N/A</name>
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                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.860000"/>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>3162.660000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZJPYDRQNNS9"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <valUSD>16747000.000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
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          <repurchaseCollaterals>
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              <invstCat>UST</invstCat>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
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        <units>NC</units>
        <curCd>USD</curCd>
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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">
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>CHENIERE CORPUS CHRISTI HOLDINGS LLC</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE INC</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
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        <curCd>USD</curCd>
        <valUSD>1160471.400000</valUSD>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2527487.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A</name>
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        <balance>5200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5200556.920000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
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        <balance>1200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1200296.030000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.4183</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>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>EUROPEAN LOAN CONDUIT 36A</name>
        <lei>N/A</lei>
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        <cusip>ACI1G9KP9</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>REALKREDIT DANMARK A/S</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2</name>
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        <cusip>74143FAA7</cusip>
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        <curCd>USD</curCd>
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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>SMALL BUSINESS ADMIN PART CERT 2004-20F</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2009-106</name>
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        <title>FANNIE MAE FNR 2009 106 FA</title>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2</name>
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          <isin value="US46628TAA97"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01ZE46"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Wells Fargo Bank, National Association</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="73.000000" pmntAmt="0.000000">
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <title>GENERAL MOTORS COMPANY SNR S* ICE</title>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>AVON FINANCE 4A</name>
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          <isin value="XS2683120211"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>N/A</name>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
        <lei>N/A</lei>
        <title>CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR</title>
        <cusip>161175BP8</cusip>
        <identifiers>
          <isin value="US161175BP82"/>
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        <balance>4600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4600000.000000</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>2024-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.28873</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTENE CORPORATION</name>
        <lei>549300Z7JJ4TQSQGT333</lei>
        <title>CENTENE CORP SR UNSECURED 12/29 4.625</title>
        <cusip>15135BAT8</cusip>
        <identifiers>
          <isin value="US15135BAT89"/>
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        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2879947.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PLN BOUGHT USD 20240122</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23IJKBB04D3"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="PLN" exchangeRt="3.935700"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <amtCurSold>562142.650000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL BOUGHT USD 20240103</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23HLKBCGDK7"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.857600"/>
        <valUSD>-101795.990000</valUSD>
        <pctVal>-0.0055452</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>
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            <amtCurSold>12000000.000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2005-WL2</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4</title>
        <cusip>542514NE0</cusip>
        <identifiers>
          <isin value="US542514NE09"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1944867.760000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.38543</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>SALOMON BROTHERS MTGE SEC VII 2003-UP2</name>
        <lei>N/A</lei>
        <title>SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1</title>
        <cusip>79549AXP9</cusip>
        <identifiers>
          <isin value="US79549AXP91"/>
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        <balance>850.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>817.080000</valUSD>
        <pctVal>0.0000445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+28.5 MBC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01RFP6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>41616.240000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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                <narrativeDesc>N/A</narrativeDesc>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="28.500000" pmntAmt="0.000000">
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            <terminationDt>2024-04-17</terminationDt>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>41616.240000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-2F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3</title>
        <cusip>362636AT9</cusip>
        <identifiers>
          <isin value="US362636AT94"/>
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        <balance>13988.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+49.5 *BULLET* MBC</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01ZXI4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)MAR24 XCBT 20240319</title>
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          <ticker value="TYH4"/>
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        <curCd>USD</curCd>
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        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN BOUGHT USD 20240131</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="23KEKBCFRCQ"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <derivativeInfo>
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              <counterpartyName>UBS AG</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 08/27 VAR</title>
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          <isin value="US404280DZ92"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3238 FN 01/48 FIXED 3.5</title>
        <cusip>31418CS47</cusip>
        <identifiers>
          <isin value="US31418CS476"/>
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        <balance>546665.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>510393.750000</valUSD>
        <pctVal>0.0278029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3</title>
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        <identifiers>
          <isin value="US61748BAC81"/>
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        <balance>1433511.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>747318.760000</valUSD>
        <pctVal>0.040709</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>5.77043</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>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
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      <invstOrSec>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23KEKBBNT96"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A</name>
        <lei>N/A</lei>
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        <cusip>96041CAC6</cusip>
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          <isin value="US96041CAC64"/>
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        <balance>5400000.000000</balance>
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        <valUSD>5418093.780000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ALLY AUTO RECEIVABLES TRUST 2023-1</name>
        <lei>N/A</lei>
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        <cusip>02007WAC2</cusip>
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          <isin value="US02007WAC29"/>
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        <balance>2600000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.46</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ARROW ELECTRONICS INC</name>
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          <isin value="US04273LA212"/>
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        <balance>950000.000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2006-2</name>
        <lei>N/A</lei>
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        <cusip>68402CAA2</cusip>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.57043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2022-A</name>
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        <cusip>17330VAA4</cusip>
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          <isin value="US17330VAA44"/>
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        <balance>9225362.460000</balance>
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        <curCd>USD</curCd>
        <valUSD>9268382.170000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2062-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.17</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS3</name>
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          <isin value="US52474XAA37"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2004-4</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)</name>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-HYB9</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD BOUGHT USD 20240320</title>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-12</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US TREASURY N/B 11/40 1.375</title>
        <cusip>912810ST6</cusip>
        <identifiers>
          <isin value="US912810ST60"/>
        </identifiers>
        <balance>10500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6971425.760000</valUSD>
        <pctVal>0.379758</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.375</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN SOLD USD 20240131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LJKBBZMC4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="17.056900"/>
        <valUSD>14814.890000</valUSD>
        <pctVal>0.000807</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>615137.090000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>10745000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2024-01-31</settlementDt>
            <unrealizedAppr>14814.890000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AAPL US TRS EQUITY FEDL01+73 FAR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01ZE12"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20165.420000</valUSD>
        <pctVal>0.0010985</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Wells Fargo Bank, National Association</counterpartyName>
              <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>APPLE INC</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01ZE12-APPLE INC"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="73.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="APPLE INC" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2024-01-08</terminationDt>
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6457913.280000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>20165.420000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>404280BL2</cusip>
        <identifiers>
          <isin value="US404280BL25"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191512.180000</valUSD>
        <pctVal>0.0104323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC HOLDINGS PLC</name>
              <title>HSBC HOLDINGS PLC</title>
              <curCd>GBP</curCd>
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                <isin value="GB0005405286"/>
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            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="287.364579" curCd="USD"/>
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          <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.83000 10/12/23-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y6U0"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18537.960000</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>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal_ID" value="SWU01Y6U0-USD-SOFR-COMPOUND"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.830000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2053-10-12</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1140.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>19677.960000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR SOLD USD 20240119</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KLKBBVGH6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="18.316800"/>
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        <pctVal>0.0002076</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>743607.270000</amtCurSold>
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            <curPur>ZAR</curPur>
            <settlementDt>2024-01-19</settlementDt>
            <unrealizedAppr>3810.480000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEC ASSET BACKED REC LLC 2007-BR4</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2007 BR4 A2A</title>
        <cusip>81378EAA1</cusip>
        <identifiers>
          <isin value="US81378EAA10"/>
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        <balance>9436170.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5727117.880000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.56043</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LBKBB0JCG"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905600"/>
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        <pctVal>-0.0004116</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>472000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>513629.310000</amtCurPur>
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            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-7555.320000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A</title>
        <cusip>ACI1YDTG1</cusip>
        <identifiers>
          <isin value="XS2350015942"/>
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        <balance>4164775.220000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>4552876.630000</valUSD>
        <pctVal>0.248011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2007-H1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 H1 A2B</title>
        <cusip>36245YAC8</cusip>
        <identifiers>
          <isin value="US36245YAC84"/>
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        <balance>807413.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424820.180000</valUSD>
        <pctVal>0.0231414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1</title>
        <cusip>07386HVS7</cusip>
        <identifiers>
          <isin value="US07386HVS74"/>
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        <balance>24377.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14458.080000</valUSD>
        <pctVal>0.0007876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.72977</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1</title>
        <cusip>88522XAE1</cusip>
        <identifiers>
          <isin value="US88522XAE13"/>
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        <balance>174027.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146590.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.81474</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL BOUGHT USD 20240103</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23HIKBCC19G"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.857600"/>
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        <pctVal>-0.0034961</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">
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              <counterpartyName>BANCO SANTANDER, S.A.</counterpartyName>
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            <amtCurSold>11000000.000000</amtCurSold>
            <curSold>BRL</curSold>
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            <settlementDt>2024-01-03</settlementDt>
            <unrealizedAppr>-64180.310000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
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        <balance>2269201.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2145256.050000</valUSD>
        <pctVal>0.11686</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 10/24 0.125</title>
        <cusip>912828YL8</cusip>
        <identifiers>
          <isin value="US912828YL86"/>
        </identifiers>
        <balance>41971650.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41059971.620000</valUSD>
        <pctVal>2.23668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.125</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KTKBB4BR8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.467200"/>
        <valUSD>-26897.940000</valUSD>
        <pctVal>-0.0014652</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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            <amtCurSold>1484770.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>985095.900000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-26897.940000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3</title>
        <cusip>23245CAD2</cusip>
        <identifiers>
          <isin value="US23245CAD20"/>
        </identifiers>
        <balance>701678.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>691393.670000</valUSD>
        <pctVal>0.0376626</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>5.61043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARROW ELECTRONICS INC</name>
        <lei>549300YNNLBXT8N8R512</lei>
        <title>ARROW ELECTRONICS INC</title>
        <cusip>04273LAK1</cusip>
        <identifiers>
          <isin value="US04273LAK17"/>
        </identifiers>
        <balance>1050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1046333.580000</valUSD>
        <pctVal>0.0569974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-19</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SEK BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KSKBB4SSZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="10.083700"/>
        <valUSD>-129062.240000</valUSD>
        <pctVal>-0.0070305</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
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            <amtCurSold>44730995.800000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>4306924.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-129062.240000</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>IRS EUR 2.95000 12/29/23-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ37MQD50GN4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>-28779.440000</valUSD>
        <pctVal>-0.0015677</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>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU020FS8-Euribor 6 Month ACT/360"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.950000"/>
            <terminationDt>2028-12-29</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1100000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-28779.440000</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>RFR USD SOFR/4.20000 10/18/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YC58"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>63768.450000</valUSD>
        <pctVal>0.0034737</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01YC58-USD-SOFR-COMPOUND"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.200000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2033-10-18</terminationDt>
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            <upfrontRcpt>-3712.500000</upfrontRcpt>
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            <notionalAmt>1100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>67480.950000</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 AUD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LBKBBZCF2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.467200"/>
        <valUSD>-36414.620000</valUSD>
        <pctVal>-0.0019836</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>2265000.000000</amtCurSold>
            <curSold>AUD</curSold>
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            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-36414.620000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GALAXY XV CLO LTD 2013-15A</name>
        <lei>N/A</lei>
        <title>GALAXY CLO LTD GALXY 2013 15A ARR 144A</title>
        <cusip>36318WAK6</cusip>
        <identifiers>
          <isin value="US36318WAK62"/>
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        <balance>1392490.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1390974.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.62548</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VW CREDIT INC</name>
        <lei>549300UUPJ2NXDB68M19</lei>
        <title>VW CR INC</title>
        <cusip>91842JA90</cusip>
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          <isin value="US91842JA907"/>
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        <balance>250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249583.340000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-09</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>BANK OF AMERICA CORPORATION</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>BANK OF AMERICA CORP SR UNSECURED 09/27 VAR</title>
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          <isin value="US06051GLV94"/>
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        <balance>5100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5206104.330000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.933</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3</name>
        <lei>N/A</lei>
        <title>GM FINANCIAL AUTOMOBILE LEASIN GMALT 2023 3 A2A</title>
        <cusip>379929AB8</cusip>
        <identifiers>
          <isin value="US379929AB86"/>
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        <balance>3700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3706094.270000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>QUANTA SERVICES INC</name>
        <lei>SHVRXXEACT60MMH07S24</lei>
        <title>QUANTA SVCS INC DISC COML PAPE</title>
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          <isin value="US74767GA853"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>998398.750000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-08</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR BOUGHT USD 20240320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KIKBBXNLX"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="15398.143300"/>
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        <pctVal>-0.000661</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
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            <amtCurSold>8677759488.000000</amtCurSold>
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            <amtCurPur>551424.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-03-20</settlementDt>
            <unrealizedAppr>-12134.820000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1</title>
        <cusip>126694A32</cusip>
        <identifiers>
          <isin value="US126694A329"/>
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        <balance>2225019.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1806882.450000</valUSD>
        <pctVal>0.0984271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.8924</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 651787 GN 04/36 FIXED 5</title>
        <cusip>36292LCY8</cusip>
        <identifiers>
          <isin value="US36292LCY83"/>
        </identifiers>
        <balance>6340.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6377.570000</valUSD>
        <pctVal>0.0003474</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>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>CONSTELLATION BRANDS INC</name>
        <lei>5493005GKEG8QCVY7037</lei>
        <title>CONSTELLATION BRANDS INC</title>
        <cusip>21037CA97</cusip>
        <identifiers>
          <isin value="US21037CA979"/>
        </identifiers>
        <balance>250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249559.160000</valUSD>
        <pctVal>0.0135944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-09</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>MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1</title>
        <cusip>55275NAE1</cusip>
        <identifiers>
          <isin value="US55275NAE13"/>
        </identifiers>
        <balance>3492582.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2701308.880000</valUSD>
        <pctVal>0.14715</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>5.8118</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3</name>
        <lei>N/A</lei>
        <title>EXETER AUTOMOBILE RECEIVABLES EART 2023 3A A2</title>
        <cusip>301989AB5</cusip>
        <identifiers>
          <isin value="US301989AB53"/>
        </identifiers>
        <balance>2808829.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2809630.750000</valUSD>
        <pctVal>0.15305</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.11</annualizedRt>
          <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 MXN SOLD USD 20240419</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LHKBB9BN4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="17.280500"/>
        <valUSD>778.500000</valUSD>
        <pctVal>0.0000424</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>Royal Bank of Canada</counterpartyName>
              <counterpartyLei>ES7IP3U3RHIGC71XBU11</counterpartyLei>
            </counterparties>
            <amtCurSold>32850.930000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>581132.950000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2024-04-19</settlementDt>
            <unrealizedAppr>778.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4SRA6 PIMCO SWAPTION 3.665 PUT USD 2024012</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0031HX4"/>
        </identifiers>
        <balance>-1300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4204.850000</valUSD>
        <pctVal>-0.0002291</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.66500 01/24/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU020EP5"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/3.66500 01/24/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU020EP5"/>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.665000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <terminationDt>2034-01-24</terminationDt>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.670000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1060.150000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240103</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LFKBCGKK1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.857600"/>
        <valUSD>19890.750000</valUSD>
        <pctVal>0.0010835</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BANCO SANTANDER, S.A.</counterpartyName>
              <counterpartyLei>5493006QMFDDMYWIAM13</counterpartyLei>
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            <amtCurSold>1277046.010000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6300000.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2024-01-03</settlementDt>
            <unrealizedAppr>19890.750000</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>SPTR TRS EQUITY FEDL01+39 *BULLET* FAR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01VEK9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17842803.670000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Wells Fargo Bank, National Association</counterpartyName>
              <counterpartyLei>KB1H1DSPRFMYMCUFXT09</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="39.000000" pmntAmt="0.000000">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>17842803.670000</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 NOK BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KSKBB3594"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="10.158300"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <amtCurSold>25803561.360000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>2418794.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-121349.130000</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>DEUTSCHE BANK REPO REPO</title>
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          <other otherDesc="Internal ID" value="99FYXY002"/>
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        <balance>22800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22800000.000000</valUSD>
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        <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="9J6MBOOO7BECTDTUZW19" name="Deutsche Bank Securities Inc."/>
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          </notClearedCentCparty>
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          <repurchaseRt>5.150000</repurchaseRt>
          <maturityDt>2024-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <principalCd>USD</principalCd>
              <collateralVal>23258704.220000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PLN BOUGHT USD 20240122</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23IIKBB000Q"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.935700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <amtCurSold>4904075.790000</amtCurSold>
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            <unrealizedAppr>-120572.710000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD BOUGHT USD 20240202</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KCKBB65PV"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.324500"/>
        <valUSD>-75120.840000</valUSD>
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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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>3300000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>2416441.820000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-02-02</settlementDt>
            <unrealizedAppr>-75120.840000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INEOS FINANCE PLC</name>
        <lei>2138002D68XDR4LZCG32</lei>
        <title>INEOS FINANCE PLC SR SECURED REGS 11/25 2.125</title>
        <cusip>ACI0YJHL2</cusip>
        <identifiers>
          <isin value="XS1577947440"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>2141307.830000</valUSD>
        <pctVal>0.116645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VW CREDIT INC</name>
        <lei>549300UUPJ2NXDB68M19</lei>
        <title>VW CR INC</title>
        <cusip>91842JA58</cusip>
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          <isin value="US91842JA584"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>998945.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-05</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TRY BOUGHT USD 20240118</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KGKBBXX01"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="TRY" exchangeRt="29.893200"/>
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        <pctVal>-0.0001959</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <amtCurSold>6036012.700000</amtCurSold>
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            <unrealizedAppr>-3596.280000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
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          <isin value="US72201W1541"/>
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        <curCd>USD</curCd>
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        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-S3</name>
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        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2</title>
        <cusip>466247ZP1</cusip>
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          <isin value="US466247ZP16"/>
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        <balance>21042.230000</balance>
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        <curCd>USD</curCd>
        <valUSD>9806.220000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LMKBBQ5JS"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.840600"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <amtCurSold>3053823.290000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C</name>
        <lei>N/A</lei>
        <title>POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1</title>
        <cusip>73316MAE7</cusip>
        <identifiers>
          <isin value="US73316MAE75"/>
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        <balance>1288343.710000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR SOLD USD 20240131</title>
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          <other otherDesc="Internal ID" value="23LRKBBZG5K"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="15393.857700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <amtCurSold>600000.000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-WMC6</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4</title>
        <cusip>61744CSY3</cusip>
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          <isin value="US61744CSY39"/>
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        <balance>2483246.360000</balance>
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        <curCd>USD</curCd>
        <valUSD>2392527.660000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.40043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNH SOLD USD 20240326</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23KBKBBN2L7"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="7.084800"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>1694298.590000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>MORGAN STANLEY SR UNSECURED 07/27 VAR</title>
        <cusip>61747YEC5</cusip>
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          <isin value="US61747YEC57"/>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2027-07-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 06/25 5.125</title>
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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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK BOUGHT USD 20240109</title>
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        <assetCat>DFE</assetCat>
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        <securityLending>
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      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
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        <title>NATWEST GROUP PLC SR UNSECURED 05/29 VAR</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4P0A1 PIMCO SWAPTION 3.994 PUT USD 2024010</title>
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        <fairValLevel>2</fairValLevel>
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                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.99400 01/10/24-10Y LCH</title>
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            <delta>XXXX</delta>
            <unrealizedAppr>3646.800000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT KRW SOLD USD 20240108</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LRKBB1LSQ"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="KRW" exchangeRt="1294.221400"/>
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        <pctVal>-0.0000075</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <amtCurSold>250511.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>324038484.000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2024-01-08</settlementDt>
            <unrealizedAppr>-137.700000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HALSEYPOINT CLO 2 LTD</name>
        <lei>N/A</lei>
        <title>HALSEYPOINT CLO II, LTD. HLSY 2020 2A A2 144A</title>
        <cusip>40638TAC6</cusip>
        <identifiers>
          <isin value="US40638TAC62"/>
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        <balance>1650000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1638670.770000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW BOUGHT USD 20240122</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LMKBB8N2T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1294.816200"/>
        <valUSD>-1131.550000</valUSD>
        <pctVal>-0.0000616</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <amtCurSold>389910000.000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>300000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-22</settlementDt>
            <unrealizedAppr>-1131.550000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A</title>
        <cusip>92925CDA7</cusip>
        <identifiers>
          <isin value="US92925CDA71"/>
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        <balance>45223.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39704.660000</valUSD>
        <pctVal>0.0021629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0118</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F050619</cusip>
        <identifiers>
          <isin value="US01F0506190"/>
        </identifiers>
        <balance>8200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8113515.670000</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>2054-01-16</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PLN SOLD USD 20240122</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LKKBBS1CT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.935700"/>
        <valUSD>234.250000</valUSD>
        <pctVal>0.0000128</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <amtCurSold>348893.000000</amtCurSold>
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            <unrealizedAppr>234.250000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A4</title>
        <cusip>320277AF3</cusip>
        <identifiers>
          <isin value="US320277AF35"/>
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        <balance>1900000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1595017.130000</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>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+40 RBC</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="SWU01YUT6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>946136.660000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Royal Bank of Canada</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="40.000000" pmntAmt="0.000000">
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            <unrealizedAppr>946136.660000</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>SOLD AUD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KSKBB6ZXC"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.467200"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Australia and New Zealand Banking Group</counterpartyName>
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            <unrealizedAppr>-75617.490000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4PMA7 PIMCO SWAPTION 2.89 PUT EUR 20240112</title>
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        <identifiers>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <lei>N/A</lei>
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                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
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                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.890000"/>
                  <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>2.890000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>3361.520000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>PRET 2021-NPL5 LLC</name>
        <lei>N/A</lei>
        <title>PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL5 A1 144A</title>
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        <curCd>USD</curCd>
        <valUSD>3613039.850000</valUSD>
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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>SMB PRIVATE EDUCATION LOAN TRUST 2023-C</name>
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        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A</title>
        <cusip>83207DAB4</cusip>
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        <balance>988598.560000</balance>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23LNKBBQ4VL"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>267000.000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIZENS AUTO RECEIVABLES TRUST 2023-2</name>
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        <title>CITIZENS AUTO RECEIVABLES TRUS CITZN 2023 2 A1 144A</title>
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        <identifiers>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>LUXE TRUST 2021-TRIP</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <name>VENTURE 38 CLO LTD</name>
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        <name>BEAR STEARNS ALT-A TRUST 2006-4</name>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-9</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>T-MOBILE USA INC</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PLN BOUGHT USD 20240122</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23IIKBB001L"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA NA</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
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          <isin value="US06428CAD65"/>
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        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3007957.380000</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>2025-08-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.13211</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-RP1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A</title>
        <cusip>92922FYJ1</cusip>
        <identifiers>
          <isin value="US92922FYJ10"/>
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        <balance>1124854.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1005961.510000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.84043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CREDIT BASED ASSET SRVC &amp; SEC 2006-CB3</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4</title>
        <cusip>12489WQX5</cusip>
        <identifiers>
          <isin value="US12489WQX55"/>
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        <balance>3964575.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3566514.530000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.99043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.75000 12/20/23-5Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZTYYT8X6XB1"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>152217.190000</valUSD>
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        <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">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.15500 10/02/23-10Y LCH</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01XWB5"/>
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        <curCd>USD</curCd>
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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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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR BOUGHT USD 20240119</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KQKBBNVNL"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ZAR" exchangeRt="18.316800"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 02/48 1</title>
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        <identifiers>
          <isin value="US912810SB52"/>
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        <curCd>USD</curCd>
        <valUSD>6350118.710000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>1</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>MEXICAN UDIBONOS BONDS 11/28 4</title>
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          <isin value="MX0SGO0000F0"/>
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        <currencyConditional curCd="MXN" exchangeRt="16.981000"/>
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        <issuerCat>NUSS</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 2.99000 12/08/23-10Y LCH</title>
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        <identifiers>
          <isin value="EZN1XM51ZX92"/>
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        <assetCat>DIR</assetCat>
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      <invstOrSec>
        <name>BRAZIL GOVT</name>
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          <isin value="BRSTNCLTN7S1"/>
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        <securityLending>
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      <invstOrSec>
        <name>GSAMP TRUST 2005-HE5</name>
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        <curCd>USD</curCd>
        <valUSD>259036.670000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2006-5</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 5 3A2</title>
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          <isin value="US31394VL730"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2271.890000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN BOUGHT USD 20240131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KKKBB8RDW"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="17.056900"/>
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        <pctVal>-0.0000116</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">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.03000 12/15/23-10Y LCH</title>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-51079.020000</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">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <unrealizedAppr>-46291.520000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+29 RBC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01UXA2"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Royal Bank of Canada</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="29.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>493950.900000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>20200.070000</unrealizedAppr>
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        </derivativeInfo>
        <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 2A3</title>
        <cusip>43709XAE1</cusip>
        <identifiers>
          <isin value="US43709XAE13"/>
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        <balance>9001124.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6200609.220000</valUSD>
        <pctVal>0.337769</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DT AUTO OWNER TRUST 2023-3A</name>
        <lei>N/A</lei>
        <title>DT AUTO OWNER TRUST DTAOT 2023 3A A 144A</title>
        <cusip>23345WAA3</cusip>
        <identifiers>
          <isin value="US23345WAA36"/>
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        <balance>6586066.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6615311.440000</valUSD>
        <pctVal>0.360359</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.29</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INV 2006-WMC1</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC1 A1A</title>
        <cusip>59020U4L6</cusip>
        <identifiers>
          <isin value="US59020U4L65"/>
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        <balance>7321267.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6954289.260000</valUSD>
        <pctVal>0.378824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.01043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-QH1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A</title>
        <cusip>12669HAA7</cusip>
        <identifiers>
          <isin value="US12669HAA77"/>
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        <balance>745511.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>704191.000000</valUSD>
        <pctVal>0.0383597</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>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA2391 G2 11/44 FLOATING VAR</title>
        <cusip>36179QUQ2</cusip>
        <identifiers>
          <isin value="US36179QUQ27"/>
        </identifiers>
        <balance>486627.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>483986.760000</valUSD>
        <pctVal>0.0263644</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TCI-SYMPHONY CLO LTD 2016-1A</name>
        <lei>N/A</lei>
        <title>TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A</title>
        <cusip>87229WAS0</cusip>
        <identifiers>
          <isin value="US87229WAS08"/>
        </identifiers>
        <balance>6330000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6294211.190000</valUSD>
        <pctVal>0.342867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.20538</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG REGS 09/26 VAR</title>
        <cusip>ACI1QTHL7</cusip>
        <identifiers>
          <isin value="DE000DL19VP0"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>1375473.760000</valUSD>
        <pctVal>0.0749268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ARM TRUST 2002-11</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2</title>
        <cusip>07384MSJ2</cusip>
        <identifiers>
          <isin value="US07384MSJ26"/>
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        <balance>6.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4.450000</valUSD>
        <pctVal>0.0000002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25001</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>DAE FUNDING LLC</name>
        <lei>635400SZTPQL3Y1P2C76</lei>
        <title>DAE FUNDING LLC COMPANY GUAR 144A 03/25 2.625</title>
        <cusip>23371DAF1</cusip>
        <identifiers>
          <isin value="US23371DAF15"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>864359.100000</valUSD>
        <pctVal>0.0470846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 527150 GN 02/30 FIXED 8</title>
        <cusip>36211YTF1</cusip>
        <identifiers>
          <isin value="US36211YTF15"/>
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        <balance>120.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120.640000</valUSD>
        <pctVal>0.0000066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HUF BOUGHT USD 20240104</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LMKBCJJ8H"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HUF" exchangeRt="346.963500"/>
        <valUSD>-3008.530000</valUSD>
        <pctVal>-0.0001639</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <amtCurSold>128726400.000000</amtCurSold>
            <curSold>HUF</curSold>
            <amtCurPur>368000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-04</settlementDt>
            <unrealizedAppr>-3008.530000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIFC-2021-1A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2021 1A B 144A</title>
        <cusip>12563EAC7</cusip>
        <identifiers>
          <isin value="US12563EAC75"/>
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        <balance>3600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3585763.690000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.18983</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>M360 2021-CRE3 LLC</name>
        <lei>N/A</lei>
        <title>M360 2018 CRE1, LTD. M360 2021 CRE3 B 144A</title>
        <cusip>55379AAC8</cusip>
        <identifiers>
          <isin value="US55379AAC80"/>
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        <balance>3800000.000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES TRUST 2006-W5</name>
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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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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <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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      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2004-FF1</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <fairValLevel>1</fairValLevel>
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        <name>AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2023-2</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-4A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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                    <curCd>USD</curCd>
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                      <issuerName>N/A</issuerName>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>LIBERTY LENDING ABS TRUST 2023-1A</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN 2006-1</name>
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        <curCd>USD</curCd>
        <valUSD>2453999.780000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.93543</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2006-FF18</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>GENERAL ELECTRIC COMPANY</issuerName>
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            <swapFlag>Y</swapFlag>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BENEFIT STREET PARTNERS CLO XII LTD 2017-12A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BENEFIT STREET PARTNERS CLO XII LTD 2017-12A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
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        <name>STRUCTURED ASSET INVEST LN TR 2006-BNC3</name>
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          <maturityDt>2036-09-25</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="DE000C7X7UN2"/>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>EUREX DEUTSCHLAND</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <expDate>2024-03-07</expDate>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2039-01-15</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23LMKBB9RS5"/>
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        <invCountry>ID</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
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          <isin value="US404280AW98"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-08</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XX DAC 20A</name>
        <lei>N/A</lei>
        <title>HARVEST CLO HARVT 20A AR 144A</title>
        <cusip>ACI1WC7B0</cusip>
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          <isin value="XS2310758011"/>
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        <assetCat>ABS-CBDO</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-20</maturityDt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 3.30500 11/27/23-10Y LCH</title>
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          <isin value="EZ3FQVRQ3N60"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW BOUGHT USD 20240131</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23KTKBBPS50"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL Q52981 FG 12/47 FIXED 4</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>KINDER MORGAN INC</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
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        <name>JP MORGAN MORTGAGE TRUST 2007-A1</name>
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        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A1</title>
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        <balance>168696.890000</balance>
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        <curCd>USD</curCd>
        <valUSD>165344.920000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>SAXON ASSET SECURITIES TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2005 4 M2</title>
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        <curCd>USD</curCd>
        <valUSD>2418763.200000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.14543</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3442 FN 08/48 FIXED 3.5</title>
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        <balance>239082.670000</balance>
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        <curCd>USD</curCd>
        <valUSD>223117.980000</valUSD>
        <pctVal>0.012154</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>NASSAU LTD 2017-IA</name>
        <lei>N/A</lei>
        <title>NASSAU LTD NCC 2017 IA A1AS 144A</title>
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          <isin value="US631707AL03"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
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          <swapDeriv derivCat="SWP">
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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>BOUGHT ZAR SOLD USD 20240119</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LSKBBW34W"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS I 2021-RN1 LLC</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZ2J61PW0649"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LKKBCPH7K"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4</name>
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        <name>FANNIE MAE 2006-118</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSAMP TRUST 2006-HE5</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>OAKTREE CLO LTD 2019-4A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LENDMARK FUNDING TRUST 2021-1A</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>DAE FUNDING LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-7</name>
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        <fairValLevel>2</fairValLevel>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC 2005-3</name>
        <lei>N/A</lei>
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        <cusip>59020UL78</cusip>
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          <isin value="US59020UL789"/>
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        <curCd>USD</curCd>
        <valUSD>7572.820000</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>
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        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7</name>
        <lei>N/A</lei>
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        <cusip>07387VAC3</cusip>
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          <isin value="US07387VAC37"/>
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        <balance>1251485.400000</balance>
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        <curCd>USD</curCd>
        <valUSD>1177583.810000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.42043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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          <isin value="US345397ZQ92"/>
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        <balance>200000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>199755.090000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-18</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM35 ICE</title>
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          <isin value="EZYP3FB7TK33"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>INTERCONTINENTAL EXCHANGE</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23KSKBB699Z"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CARVANA AUTO RECEIVABLES TRUST 2022-P2</name>
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        <cusip>14686JAD2</cusip>
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          <isin value="US14686JAD28"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>PRPM-2022-1</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>HARVEST CLO XVI DAC 16A</name>
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        <cusip>ACI1VVSJ9</cusip>
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          <isin value="XS2304366656"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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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>
        <name>ELLINGTON LOAN ACQUISITION TRUST 2007-1</name>
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        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A</title>
        <cusip>288542AA1</cusip>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>QUANTA SERVICES INC</name>
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        <title>QUANTA SVCS INC DISC COML PAPE</title>
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          <isin value="US74767GAC69"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 3.17900 11/29/23-5Y LCH</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>VENTURE 38 CLO LTD</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2019 38A A2R 144A</title>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240103</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR SOLD USD 20240320</title>
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          <other otherDesc="Internal ID" value="23LFKBBTHNM"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LCKBBQK3X"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="KRW" exchangeRt="1282.774300"/>
        <valUSD>-11292.260000</valUSD>
        <pctVal>-0.0006151</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <amtCurSold>1036812736.000000</amtCurSold>
            <curSold>KRW</curSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-E</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 E 2A1</title>
        <cusip>35729NAB1</cusip>
        <identifiers>
          <isin value="US35729NAB10"/>
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        <balance>6393.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2905.580000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.53043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
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        <identifiers>
          <isin value="US694308JW85"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1003354.010000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>TORONTO-DOMINION BANK</name>
        <lei>PT3QB789TSUIDF371261</lei>
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        <balance>1900000.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.325100"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR BOUGHT USD 20240122</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23LDKBBWDZ2"/>
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        <pctVal>-0.0006382</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>5704318.550000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU ASSET-BACKED CERTIFICATES 2007-HE4</name>
        <lei>N/A</lei>
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        <cusip>93363XAA1</cusip>
        <identifiers>
          <isin value="US93363XAA19"/>
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        <balance>1362284.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>982441.360000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23LAKBBWZ7M"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="140.911100"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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            <amtCurSold>102500000.000000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
        <name>QUANTA SERVICES INC</name>
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        <title>QUANTA SVCS INC DISC COML PAPE 01/24 ZCP</title>
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        <curCd>USD</curCd>
        <valUSD>998236.640000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-09</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>BANK OF AMERICA CREDIT CARD TRUST 2023-A2</name>
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        <cusip>05522RDH8</cusip>
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          <isin value="US05522RDH84"/>
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        <balance>8800000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8910774.400000</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>
          <annualizedRt>4.98</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MICROSOFT CORPORATION</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 3376</name>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 3.14800 11/20/23-10Y LCH</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH BOUGHT USD 20240326</title>
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          <other otherDesc="Internal ID" value="23KGKBBMTF4"/>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
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        <title>DEUTSCHE BANK NY 09/31 VAR</title>
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        <curCd>USD</curCd>
        <valUSD>439091.360000</valUSD>
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        <invCountry>DE</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL I INC 2021-230P</name>
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        <title>MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P B 144A</title>
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        <curCd>USD</curCd>
        <valUSD>4607731.680000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC</name>
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        <name>TOWD POINT MORTGAGE FUNDING 19-A13A</name>
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        <name>N/A</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>AMERIQUEST MTGE SECURITIES INC 2005-R4</name>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-20308.680000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>INTERCONTINENTAL HOTELS GROUP PLC</name>
        <lei>2138007ZFQYRUSLU3J98</lei>
        <title>INTERCONTINENTAL HOTELS COMPANY GUAR REGS 08/26 2.125</title>
        <cusip>ACI0P88L6</cusip>
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          <isin value="XS1480022315"/>
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        <balance>400000.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.784500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A</title>
        <cusip>9393357P4</cusip>
        <identifiers>
          <isin value="US9393357P40"/>
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        <balance>3110.510000</balance>
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        <curCd>USD</curCd>
        <valUSD>2926.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.4118</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>QUANTA SERVICES INC</name>
        <lei>SHVRXXEACT60MMH07S24</lei>
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          <isin value="US74767GAH56"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299078.030000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-17</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="Internal_ID" value="SWU01ZJL3"/>
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                      <issuerName>N/A</issuerName>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3.090000</exercisePrice>
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            <delta>XXXX</delta>
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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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        <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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            <upfrontRcpt>-3788.930000</upfrontRcpt>
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            <unrealizedAppr>-43586.240000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VW CREDIT INC</name>
        <lei>549300UUPJ2NXDB68M19</lei>
        <title>VW CR INC</title>
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          <isin value="US91842JA337"/>
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        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3397439.530000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-03</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW BOUGHT USD 20240108</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LCKBB1GXD"/>
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        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1294.221400"/>
        <valUSD>-3778.110000</valUSD>
        <pctVal>-0.0002058</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <unrealizedAppr>-3778.110000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SEGOVIA EUROPEAN CLO 6-2019 DAC 19-6A</name>
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        <title>SEGOVIA EUROPEAN CLO 6   2019 SEGOV 2019 6A AR 144A</title>
        <cusip>ACI1YTXT3</cusip>
        <identifiers>
          <isin value="XS2357554679"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD SOLD USD 20240109</title>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A</name>
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        <title>RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL 544860 FN 09/34 FLOATING VAR</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTY OF CLARK DEPARTMENT OF AVIATION</name>
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        <title>CLARK CNTY NV ARPT REVENUE CLAAPT 07/45 FIXED 6.82</title>
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        <balance>100000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>122691.120000</valUSD>
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        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK SOLD USD 20240109</title>
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        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>3086843.550000</amtCurSold>
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            <unrealizedAppr>60333.490000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
        <title>GLOBAL PMTS INC</title>
        <cusip>37961CAG7</cusip>
        <identifiers>
          <isin value="US37961CAG78"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1595102.800000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-16</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-71</name>
        <lei>N/A</lei>
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        <cusip>3136A6Z31</cusip>
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          <isin value="US3136A6Z319"/>
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        <balance>6394071.510000</balance>
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        <curCd>USD</curCd>
        <valUSD>5869485.260000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR SOLD USD 20240117</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23LBKBBX1B8"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ZAR" exchangeRt="18.313800"/>
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        <pctVal>0.0009464</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">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>635797.210000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LDKBB0NC2"/>
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        <balance>1.000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>205526.020000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 MONTH SOFR FUT  JUN24 XCME 20240917</title>
        <cusip>000000000</cusip>
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          <ticker value="SFRM4"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>N/A</issuerName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GE-WMC MORTGAGE SECURITIES LLC 2005-2</name>
        <lei>N/A</lei>
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        <cusip>367910AV8</cusip>
        <identifiers>
          <isin value="US367910AV88"/>
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        <balance>6465711.790000</balance>
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        <curCd>USD</curCd>
        <valUSD>6156817.580000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MADISON PARK EURO FUNDING X DAC 10A</name>
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        <cusip>ACI216KN4</cusip>
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          <isin value="XS1725823469"/>
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        <balance>2383268.720000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>2592865.230000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
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        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.696</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HUF BOUGHT USD 20240104</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="23LNKBCGB2G"/>
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        <currencyConditional curCd="HUF" exchangeRt="346.963500"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>HU</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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        <securityLending>
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      <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>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>3</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP BOUGHT USD 20240109</title>
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          <other otherDesc="Internal ID" value="23KTKBB6FQ5"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GLS AUTO RECEIVABLES ISSUER TRUST 2023-3A</name>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
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        <fairValLevel>2</fairValLevel>
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        <name>RESIDENTIAL ACCREDIT LOANS 2007-QH8</name>
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        <name>SMB PRIVATE EDUCATION LOAN TRUST 2022-B</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.84200 12/26/23-10Y LCH</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-24</name>
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        <fairValLevel>2</fairValLevel>
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        <name>STELLANTIS FINANCE US INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>JFIN CLO LTD 2017-2A</name>
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        <name>GMF CANADA LEASING TRUST ASSET-BACKED NOTES SERIES 2023-1A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <title>SOLD HUF BOUGHT USD 20240104</title>
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      <invstOrSec>
        <name>VENTURE CDO LTD 2016-25A</name>
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      <invstOrSec>
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        <name>STWD 2022-FL3 LTD</name>
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        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FIRST FRANKLIN MTG LOAN ABS 2006-FF11</name>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2006-1</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="23LNKBCF10T"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      <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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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT2 M2</title>
        <cusip>83611MGJ1</cusip>
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          <isin value="US83611MGJ18"/>
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        <balance>2735606.430000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.31043</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XVI LTD 2017-2A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 2A AR 144A</title>
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        <assetCat>ABS-CBDO</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HUF BOUGHT USD 20240124</title>
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          <other otherDesc="Internal ID" value="23IKKBB1WPM"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="23LDKBB8000"/>
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        <name>BRAZIL GOVT</name>
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        <name>N/A</name>
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        <title>CDX IG40 5Y ICE</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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        <title>RFR USD SOFR/3.50000 12/20/23-10Y CME</title>
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      <invstOrSec>
        <name>NISSAN MOTOR CO LTD</name>
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      <invstOrSec>
        <name>TOYOTA AUTO RECEIVABLES 2023-C OWNER TRUST</name>
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        <title>TOYOTA AUTO RECEIVABLES OWNER TAOT 2023 C A1</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.604</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PRIME MORTGAGE TRUST 2004-CL1</name>
        <lei>N/A</lei>
        <title>PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2</title>
        <cusip>74160MDL3</cusip>
        <identifiers>
          <isin value="US74160MDL37"/>
        </identifiers>
        <balance>1947.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1817.500000</valUSD>
        <pctVal>0.000099</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>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARROW ELECTRONICS INC</name>
        <lei>549300YNNLBXT8N8R512</lei>
        <title>ARROW ELECTRONICS INC</title>
        <cusip>04273LAB1</cusip>
        <identifiers>
          <isin value="US04273LAB18"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1397065.750000</valUSD>
        <pctVal>0.076103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-11</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>ENERGY TRANSFER LP</name>
        <lei>MTLVN9N7JE8MIBIJ1H73</lei>
        <title>ENERGY TRANSFER PARTNERS</title>
        <cusip>29277EA46</cusip>
        <identifiers>
          <isin value="US29277EA466"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899139.540000</valUSD>
        <pctVal>0.0489792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-04</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN BOUGHT USD 20240131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LMKBB14CK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="17.056900"/>
        <valUSD>-7886.790000</valUSD>
        <pctVal>-0.0004296</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>15114000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>878208.540000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-31</settlementDt>
            <unrealizedAppr>-7886.790000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARES EUROPEAN CLO X BV 10A</name>
        <lei>N/A</lei>
        <title>ARES EUROPEAN CLO ARESE 10A AR 144A</title>
        <cusip>ACI1Y2RR3</cusip>
        <identifiers>
          <isin value="XS2347648961"/>
        </identifiers>
        <balance>7007817.350000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>7663433.130000</valUSD>
        <pctVal>0.417454</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>4.745</annualizedRt>
          <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-A8</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1</title>
        <cusip>466247YH0</cusip>
        <identifiers>
          <isin value="US466247YH09"/>
        </identifiers>
        <balance>36200.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29706.540000</valUSD>
        <pctVal>0.0016182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.8793</annualizedRt>
          <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 CAD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LSKBBPRPJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.324900"/>
        <valUSD>172.990000</valUSD>
        <pctVal>0.0000094</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>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>100000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>75650.380000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>172.990000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1</title>
        <cusip>362341XG9</cusip>
        <identifiers>
          <isin value="US362341XG98"/>
        </identifiers>
        <balance>10205.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9018.460000</valUSD>
        <pctVal>0.0004913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.511</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A</name>
        <lei>N/A</lei>
        <title>GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A</title>
        <cusip>36361UAQ3</cusip>
        <identifiers>
          <isin value="US36361UAQ31"/>
        </identifiers>
        <balance>3850000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3839604.580000</valUSD>
        <pctVal>0.209157</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.30548</annualizedRt>
          <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>317U4QDA5 PIMCO SWAPTION 3.995 PUT USD 2024011</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0030QY4"/>
        </identifiers>
        <balance>-1200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-318.360000</valUSD>
        <pctVal>-0.0000173</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>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP PARIBAS</counterpartyName>
                    <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.99500 01/18/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZX03"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/3.99500 01/18/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01ZX03"/>
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                    </otherRefInst>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.995000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <terminationDt>2034-01-18</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>4.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5066.640000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CITIBANK NA SR UNSECURED 12/26 5.488</title>
        <cusip>17325FBC1</cusip>
        <identifiers>
          <isin value="US17325FBC14"/>
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        <balance>13200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13442610.060000</valUSD>
        <pctVal>0.732266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.488</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THE BANK OF NOVA SCOTIA</name>
        <lei>L3I9ZG2KFGXZ61BMYR72</lei>
        <title>BANK OF NOVA SCOTIA</title>
        <cusip>0641ZPPA9</cusip>
        <identifiers>
          <isin value="CA0641ZPPA99"/>
        </identifiers>
        <balance>16500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.325100"/>
        <valUSD>12390970.150000</valUSD>
        <pctVal>0.674979</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-01</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>CONAGRA BRANDS INC</name>
        <lei>54930035UDEIH090K650</lei>
        <title>CONAGRA FOODS INC.</title>
        <cusip>20600GAB2</cusip>
        <identifiers>
          <isin value="US20600GAB23"/>
        </identifiers>
        <balance>1750000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1746382.750000</valUSD>
        <pctVal>0.0951315</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-11</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>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC SR UNSECURED 144A 11/35 3.137</title>
        <cusip>11135FBP5</cusip>
        <identifiers>
          <isin value="US11135FBP53"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410755.650000</valUSD>
        <pctVal>0.0223753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.137</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPTR TRS EQUITY FEDL01+43 JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01YIQ6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>436326.870000</valUSD>
        <pctVal>0.0237682</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <indexBasketInfo>
                <indexName>S&amp;P 500 INDEX</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="S &amp; P Total Return Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="43.000000" pmntAmt="0.000000">
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 3.27000 08/21/23-10Y LCH</title>
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          <isin value="EZ6B57R3QQK1"/>
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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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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <isin value="EZW8XKN63668"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>INTERCONTINENTAL EXCHANGE</counterpartyName>
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                <issuerName>GENERAL ELECTRIC COMPANY</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR13</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>-357882.340000</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>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="26.161000" pmntAmt="0.000000">
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            <curCd>USD</curCd>
            <unrealizedAppr>-446326.610000</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>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                      <other otherDesc="Internal_ID" value="SWU01ZLP1"/>
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                  <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-15789.580000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>AAMES MORTGAGE INVESTMENT TRUST 2005-2</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT NZD SOLD USD 20240109</title>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurPur>11700000.000000</amtCurPur>
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            <unrealizedAppr>101735.980000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>EXETER AUTOMOBILE RECEIVABLES TRUST 2023-3</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MASTER CREDIT CARD TRUST II 2023-2A</name>
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        <title>MASTER CREDIT CARD TRUST MCCT 2023 2A A 144A</title>
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        <curCd>USD</curCd>
        <valUSD>8736359.910000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
        <title>GLOBAL PMTS INC</title>
        <cusip>37961CAH5</cusip>
        <identifiers>
          <isin value="US37961CAH51"/>
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        <balance>4050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4036940.570000</valUSD>
        <pctVal>0.219906</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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        <name>COUNTRYWIDE HOME LOANS 2004-HYB9</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>PAGAYA AI DEBT TRUST 2023-6</name>
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        <securityLending>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>GM FINANCIAL AUTOMOBILE LEASING TRUST 2023-3</name>
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        <name>N/A</name>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KSKBB50RJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.467200"/>
        <valUSD>-34011.990000</valUSD>
        <pctVal>-0.0018528</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1836709.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>1217857.450000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-34011.990000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3356 FN 05/48 FIXED 3.5</title>
        <cusip>31418CWS9</cusip>
        <identifiers>
          <isin value="US31418CWS96"/>
        </identifiers>
        <balance>149963.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139700.580000</valUSD>
        <pctVal>0.00761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING GROEP NV JR SUBORDINA 12/99 VAR</title>
        <cusip>456837AZ6</cusip>
        <identifiers>
          <isin value="US456837AZ69"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>510904.460000</valUSD>
        <pctVal>0.0278307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ING GROEP NV</name>
              <title>ING GROEP NV</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="NL0011821202"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="111.111111" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BARCLAYS CAPITAL REPO REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="068992007"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100000.000000</valUSD>
        <pctVal>0.0054473</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="Barclays Bank PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>5.590000</repurchaseRt>
          <maturityDt>2024-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>103000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>101849.300000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AT&amp;T INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZP3SNVRZ849"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4869.800000</valUSD>
        <pctVal>0.0002653</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>INTERCONTINENTAL EXCHANGE</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AT&amp;T INC</issuerName>
                <issueTitle>AT&amp;T INC SR UNSEC SMR</issueTitle>
                <identifiers>
                  <isin value="US00206RCL42"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-20</terminationDt>
            <upfrontPmnt>14056.250000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-9186.450000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL SOLD USD 20240202</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23JMKBB62NF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.865500"/>
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        <pctVal>0.0312098</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>10562770.230000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>54180673.620000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2024-02-02</settlementDt>
            <unrealizedAppr>572936.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX HY40 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZGB6C4Y7HX0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6250.240000</valUSD>
        <pctVal>0.0003405</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>N/A</issuerName>
                <issueTitle>CDX.NA.HY.40</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2028-06-20</terminationDt>
            <upfrontPmnt>2796.750000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>99000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3453.490000</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 IDR BOUGHT USD 20240320</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KKKBBRVT0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="15398.143300"/>
        <valUSD>-8705.870000</valUSD>
        <pctVal>-0.0004742</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>18424397471.000000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>1187827.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-03-20</settlementDt>
            <unrealizedAppr>-8705.870000</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>RFR USD SOFR/4.17000 10/03/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01XXA6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>103942.390000</valUSD>
        <pctVal>0.0056621</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01XXA6-USD-SOFR-COMPOUND"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.170000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2033-10-03</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-7362.500000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>111304.890000</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 EUR BOUGHT USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23KTKBBXN24"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905600"/>
        <valUSD>-501680.090000</valUSD>
        <pctVal>-0.0273283</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>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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            <amtCurSold>118300779.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>130126598.070000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>-501680.090000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SREIT TRUST 2021-IND</name>
        <lei>N/A</lei>
        <title>SREIT TRUST SREIT 2021 IND B 144A</title>
        <cusip>78473JAG7</cusip>
        <identifiers>
          <isin value="US78473JAG76"/>
        </identifiers>
        <balance>9000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8760052.800000</valUSD>
        <pctVal>0.47719</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.57348</annualizedRt>
          <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 MXN SOLD USD 20240131</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23JUKBCG9J7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="17.056900"/>
        <valUSD>152.940000</valUSD>
        <pctVal>0.0000083</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <amtCurSold>2049.480000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>37566.300000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2024-01-31</settlementDt>
            <unrealizedAppr>152.940000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MPLX LP</name>
        <lei>5493000CZJ19CK4P3G36</lei>
        <title>MPLX LP SR UNSECURED 08/30 2.65</title>
        <cusip>55336VBQ2</cusip>
        <identifiers>
          <isin value="US55336VBQ23"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1381590.140000</valUSD>
        <pctVal>0.07526</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.15000 10/12/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y6R7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>90855.220000</valUSD>
        <pctVal>0.0049492</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y6R7-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.150000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2033-10-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-6715.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>97570.220000</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>317U4PCA8 PIMCO SWAPTION 3.455 CALL USD 202401</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0030DM4"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8488.800000</valUSD>
        <pctVal>-0.0004624</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.45500 01/10/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01ZRK6"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/3.45500 01/10/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01ZRK6"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.455000"/>
                  <terminationDt>2034-01-10</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.460000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1213.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 3.12800 12/04/23-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZR0DQFNVPR5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.905800"/>
        <valUSD>-29896.620000</valUSD>
        <pctVal>-0.0016286</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>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01ZJ82-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="3.128000"/>
            <terminationDt>2033-12-04</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-2016.380000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-27880.240000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK SOLD USD 20240109</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="23LMKBBQ09C"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="10.083700"/>
        <valUSD>55111.260000</valUSD>
        <pctVal>0.0030021</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>4501268.380000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>45945000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2024-01-09</settlementDt>
            <unrealizedAppr>55111.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-17</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1</title>
        <cusip>863579VM7</cusip>
        <identifiers>
          <isin value="US863579VM76"/>
        </identifiers>
        <balance>19710.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16918.960000</valUSD>
        <pctVal>0.0009216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.67247</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2023-3A</name>
        <lei>N/A</lei>
        <title>WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2023 3A A1 144A</title>
        <cusip>96041CAA0</cusip>
        <identifiers>
          <isin value="US96041CAA09"/>
        </identifiers>
        <balance>4550086.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4551049.260000</valUSD>
        <pctVal>0.247911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.781</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A</name>
        <lei>N/A</lei>
        <title>RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A</title>
        <cusip>76088TAA9</cusip>
        <identifiers>
          <isin value="US76088TAA97"/>
        </identifiers>
        <balance>3974479.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3935445.050000</valUSD>
        <pctVal>0.214377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.38</annualizedRt>
          <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>RFR USD SOFR/1.75000 06/15/22-5Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZV1KR773RK9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2025917.410000</valUSD>
        <pctVal>0.110359</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>USD-SOFR-COMPOUND</issueTitle>
                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01H5Q7-USD-SOFR-COMPOUND"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <terminationDt>2027-06-15</terminationDt>
            <upfrontPmnt>1713776.170000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>24700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>312141.240000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <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="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="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="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"/>
      <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"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2024-02-21</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>
