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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage A</name>
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        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>AES PANAMA GENERATION HL</name>
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      <invstOrSec>
        <name>INRETAIL CONSUMER</name>
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        <name>TIME WARNER CABLE LLC</name>
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        <name>BRISTOL-MYERS SQUIBB CO</name>
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        <name>Freddie Mac</name>
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        <name>Fannie Mae</name>
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        <name>ADANI PORTS AND SPECIAL</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>CSL FINANCE PLC</name>
        <lei>2549007CCNBNAF4HBC02</lei>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MAGALLANES INC</name>
        <lei>549300DXR29GD4N0A520</lei>
        <title>Magallanes Inc</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75500000</annualizedRt>
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      <invstOrSec>
        <name>VMWARE INC</name>
        <lei>549300BUDHS3LRWBE814</lei>
        <title>VMware Inc</title>
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          <isin value="US928563AJ42"/>
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        <balance>225000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.40000000</annualizedRt>
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      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CURRENCY CONTRACT - JPY</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTJPY__01132326"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ADT SEC CORP</name>
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        <name>US TREASURY N/B</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>WORKDAY INC</name>
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        <title>Workday Inc</title>
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        <name>JOHNSON &amp; JOHNSON</name>
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        <title>Johnson &amp; Johnson</title>
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        <name>BROWN BROTHERS HARRIMAN &amp; CO.</name>
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      <invstOrSec>
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        <name>GENERAL ELECTRIC CO</name>
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        <name>BNP PARIBAS</name>
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      <invstOrSec>
        <name>OMAN GOV INTERNTL BOND</name>
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        <title>Oman Government International Bond</title>
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        <curCd>USD</curCd>
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        <issuerCat>NUSS</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>STANDARD CHARTERED BANK</name>
        <lei>RILFO74KP1CM8P6PCT96</lei>
        <title>CURRENCY CONTRACT - AUD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTAUD__01130976"/>
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        <curCd>USD</curCd>
        <valUSD>-193702.36000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>CUMMINS INC</name>
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        <title>Cummins Inc</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>RIO TINTO FIN USA LTD</name>
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        <title>Rio Tinto Finance USA Ltd</title>
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        <invCountry>AU</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
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        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust 2020-4</title>
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        <name>BUNDESREPUB. DEUTSCHLAND</name>
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        <title>Bundesrepublik Deutschland Bundesanleihe</title>
        <cusip>000000000</cusip>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <name>NATURA COSMETICOS SA</name>
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      <invstOrSec>
        <name>REPUBLIC OF ARGENTINA</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>Argentine Republic Government International Bond</title>
        <cusip>040114HX1</cusip>
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          <isin value="US040114HX11"/>
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        <invCountry>AR</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>IVORY COAST</name>
        <lei>254900ICW11T82O6H590</lei>
        <title>Ivory Coast Government International Bond</title>
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        <name>Gam Resecuritization Trust</name>
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        <name>Fannie Mae</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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      <invstOrSec>
        <name>OPEN TEXT HOLDINGS INC</name>
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      <invstOrSec>
        <name>CENTRAL GARDEN &amp; PET CO</name>
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      <invstOrSec>
        <name>DOW CHEMICAL CO/THE</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>THAILAND GOVERNMENT BOND</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CBRE SERVICES INC</name>
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        <name>BONOS Y OBLIG DEL ESTADO</name>
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        <title>Spain Government Bond</title>
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          <isin value="ES0000012E51"/>
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        <invCountry>ES</invCountry>
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        <name>CROATIA</name>
        <lei>74780000O00QGQ7CER13</lei>
        <title>Croatia Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS1843434876"/>
          <other otherDesc="SEDOL" value="BK6WV95"/>
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        <balance>300000.00000000</balance>
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        <invCountry>HR</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-06-19</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ON SEMICONDUCTOR CORP</name>
        <lei>ZV20P4CNJVT8V1ZGJ064</lei>
        <title>ON Semiconductor Corp</title>
        <cusip>682189AQ8</cusip>
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        <balance>120000.00000000</balance>
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        <invCountry>US</invCountry>
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        <name>Fannie Mae - CAS</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
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        <name>PETROLEOS MEXICANOS</name>
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        <title>Petroleos Mexicanos</title>
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        <balance>600000.00000000</balance>
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        <name>CHINA GOVERNMENT BOND</name>
        <lei>300300CHN201808MOF68</lei>
        <title>China Government Bond</title>
        <cusip>000000000</cusip>
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          <other otherDesc="SEDOL" value="BGSQDV3"/>
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        <invCountry>CN</invCountry>
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        <name>AMAZON.COM INC</name>
        <lei>ZXTILKJKG63JELOEG630</lei>
        <title>Amazon.com Inc</title>
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        <name>RUSSIAN FEDERATION</name>
        <lei>5493004EHVGF71PDBU58</lei>
        <title>Russian Foreign Bond - Eurobond</title>
        <cusip>78307ADG5</cusip>
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        <name>Mill City Mortgage Trust</name>
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        <title>Mill City Mortgage Loan Trust 2017-2</title>
        <cusip>59980AAC1</cusip>
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        <balance>300000.00000000</balance>
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        <name>CORP FINANCIERA DE DESAR</name>
        <lei>254900BOM7T4MG6T0J30</lei>
        <title>Corp Financiera de Desarrollo SA</title>
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        <invCountry>PE</invCountry>
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          <maturityDt>2027-09-28</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2019-KG01 Mortgage Trust</title>
        <cusip>30298CAQ4</cusip>
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        <balance>5680000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>GC TREASURY CENTRE CO</name>
        <lei>549300LUFQBC2EQNAR40</lei>
        <title>GC Treasury Center Co Ltd</title>
        <cusip>36830BAD7</cusip>
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        <balance>200000.00000000</balance>
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      <invstOrSec>
        <name>HUTAMA KARYA PERSERO PT</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HCA INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Verus Securitization Trust</name>
        <lei>N/A</lei>
        <title>Verus Securitization Trust 2021-1</title>
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        <balance>1000000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CVS HEALTH CORP</name>
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        <title>CVS Health Corp</title>
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          <isin value="US126650DG21"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>US AIRWAYS 2012-2A PTT</name>
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        <title>US Airways 2012-2 Class A Pass Through Trust</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2019-B9 Mortgage Trust</title>
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          <isin value="US08160JAG22"/>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0FW4</cusip>
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          <isin value="US3137G0FW48"/>
          <other otherDesc="Sedol" value="BYX4FQ7"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CARGILL INC</name>
        <lei>QXZYQNMR4JZ5RIRN4T31</lei>
        <title>Cargill Inc</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>VMED O2 UK FINAN</name>
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        <title>Vmed O2 UK Financing I PLC</title>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>DOMINICAN REPUBLIC</name>
        <lei>254900EHU7Q8FGVPI369</lei>
        <title>Dominican Republic International Bond</title>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>DO</invCountry>
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        <name>Apidos CLO</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <title>WaMu Mortgage Pass-Through Certificates Series 2005-AR11 Trust</title>
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          <isin value="US92922F2Q02"/>
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        <name>DUKE ENERGY PROGRESS INC</name>
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        <title>Duke Energy Progress LLC</title>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31396QW54</cusip>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Floating</couponKind>
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        <name>MISC CAPITAL TWO LABUAN</name>
        <lei>9845000ED8376T875113</lei>
        <title>Misc Capital Two Labuan Ltd</title>
        <cusip>60475DAB7</cusip>
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          <isin value="US60475DAB73"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>484823.44000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>DTE ELECTRIC CO</name>
        <lei>9N0FWODEJVKHC2DYLO03</lei>
        <title>DTE Electric Co</title>
        <cusip>23338VAD8</cusip>
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        <balance>146000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <name>American Money Management Corp</name>
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        <name>Neuberger Berman CLO Ltd</name>
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        <name>Dryden Senior Loan Fund</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>Gam Resecuritization Trust</name>
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        <name>Citibank, National Association</name>
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        <name>PLAINS ALL AMER PIPELINE</name>
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        <name>BNP PARIBAS</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>PETROLEOS MEXICANOS</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <name>GALAXY PIPELINE ASSETS</name>
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        <title>Galaxy Pipeline Assets Bidco Ltd</title>
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        <title>Fortune Brands Home &amp; Security Inc</title>
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        <name>INVERSIONES CMPC SA</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BNP PARIBAS</name>
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      <invstOrSec>
        <name>ARES CLO Ltd</name>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>State Street Bank and Trust Company</name>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UNITEDHEALTH GROUP INC</name>
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        <name>FHLMC Multifamily Structured P</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <name>ARAB REPUBLIC OF EGYPT</name>
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        <title>Egypt Government International Bond</title>
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        <name>FLORIDA POWER &amp; LIGHT CO</name>
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        <title>Florida Power &amp; Light Co</title>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
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        <lei>OPX52SQVOZI8IVSWYU66</lei>
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      <invstOrSec>
        <name>Onslow Bay Financial LLC</name>
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          <isin value="US67112VBB09"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-27</maturityDt>
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          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Commercial Mortgage Pass Through Certificates</title>
        <cusip>12624NAE0</cusip>
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          <isin value="US12624NAE04"/>
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        <balance>15100637.93000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>MITSUBISHI UFJ FIN GRP</name>
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        <title>Mitsubishi UFJ Financial Group Inc</title>
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          <isin value="US606822BN36"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.19300000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136AN3C9</cusip>
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          <isin value="US3136AN3C92"/>
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        <balance>5562216.30000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1266508.86000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MPT OPER PARTNERSP/FINL</name>
        <lei>N/A</lei>
        <title>MPT Operating Partnership LP / MPT Finance Corp</title>
        <cusip>55342UAM6</cusip>
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          <isin value="US55342UAM62"/>
          <other otherDesc="SEDOL" value="BMF4PW7"/>
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        <balance>215000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>182949.95000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <title>CURRENCY CONTRACT - NOK</title>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTNOK__01134296"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LOWE'S COS INC</name>
        <lei>WAFCR4OKGSC504WU3E95</lei>
        <title>Lowe's Cos Inc</title>
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          <isin value="US548661EF07"/>
          <other otherDesc="SEDOL" value="BMGCHK2"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BIN1STUF3"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137AGNP1</cusip>
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          <isin value="US3137AGNP14"/>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <name>CHARTER COMM OPT LLC/CAP</name>
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        <name>AMERICAN TRANSMISSION SY</name>
        <lei>N/A</lei>
        <title>American Transmission Systems Inc</title>
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        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CURRENCY CONTRACT - IDR</title>
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        <assetCat>DFE</assetCat>
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        <name>KOOKMIN BANK</name>
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        <name>ANHEUSER-BUSCH CO/INBEV</name>
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        <name>PHILLIPS 66</name>
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        <name>CVS HEALTH CORP</name>
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        <name>O'REILLY AUTOMOTIVE INC</name>
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        <name>Freddie Mac</name>
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        <name>Fannie Mae</name>
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        <name>Venture CDO Ltd</name>
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        <name>Fannie Mae</name>
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        <name>Government National Mortgage A</name>
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        <name>CARGILL INC</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>VALVOLINE INC</name>
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        <title>Valvoline Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SHIRE ACQ INV IRELAND DA</name>
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        <title>Shire Acquisitions Investments Ireland DAC</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>COMMSCOPE TECH LLC</name>
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        <name>GAZPROM PJSC (GAZ FN)</name>
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        <name>AMERISOURCEBERGEN CORP</name>
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        <title>Union Pacific Corp</title>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CURRENCY CONTRACT - JPY</title>
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        <title>China Government Bond</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ABBVIE INC</name>
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        <title>AbbVie Inc</title>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__01132324"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HCA INC</name>
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        <title>HCA Inc</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2042-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137ATCK6</cusip>
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          <isin value="US3137ATCK66"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.44586000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BIN1B0158"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-49169.69000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>Carlyle Global Market Strategi</name>
        <lei>549300VC6J79YJCFU884</lei>
        <title>Carlyle US Clo 2017-2 Ltd</title>
        <cusip>14315JAU3</cusip>
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          <isin value="US14315JAU34"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>295482.60000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.66271000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>BANCO DE BOGOTA SA</name>
        <lei>549300LYHE7LWSKDZT53</lei>
        <title>Banco de Bogota SA</title>
        <cusip>000000000</cusip>
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          <isin value="USP09252AK62"/>
          <other otherDesc="SEDOL" value="BYYSPR9"/>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>State Street Bank and Trust Company</name>
        <lei>571474TGEMMWANRLN572</lei>
        <title>CURRENCY CONTRACT - GBP</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-13875.17000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <title>CURRENCY CONTRACT - CZK</title>
        <cusip>000000000</cusip>
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        <fairValLevel>2</fairValLevel>
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        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F032666</cusip>
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        <balance>2700000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BIN13KVB7"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
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        <title>JPMorgan Chase &amp; Co</title>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>REPUBLIC OF PANAMA</name>
        <lei>549300SHS4T08CL0LP14</lei>
        <title>Panama Government International Bond</title>
        <cusip>698299BR4</cusip>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-19</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CSL FINANCE PLC</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>Gam Resecuritization Trust</name>
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        <name>HSBC HOLDINGS PLC</name>
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        <name>SHELL INTERNATIONAL FIN</name>
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        <name>Freddiemac Strip</name>
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        <name>Fannie Mae</name>
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        <name>Credit Suisse Commercial Mortg</name>
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      <invstOrSec>
        <name>Freddiemac Strip</name>
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      <invstOrSec>
        <name>AMER AIRLINE 16-3 A PTT</name>
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        <name>Freddie Mac - STACR</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>BNP PARIBAS</name>
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        <name>DUKE ENERGY CAROLINAS</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIGROUP GLOBAL MARKETS LIMITED</name>
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        <name>Gam Resecuritization Trust</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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      <invstOrSec>
        <name>BNP PARIBAS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SAUDI INTERNATIONAL BOND</name>
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        <title>Saudi Government International Bond</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>AMER AIRLN 15-2 A PASS T</name>
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        <name>AMERICAN HOMES 4 RENT</name>
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      <invstOrSec>
        <name>GENERAL MOTORS FINL CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>US TREASURY N/B</name>
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          <isin value="US91282CEK36"/>
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      <invstOrSec>
        <name>Fannie Mae</name>
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          <couponKind>Floating</couponKind>
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        <name>PERUSAHAAN LISTRIK NEGAR</name>
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        <title>Perusahaan Perseroan Persero PT Perusahaan Listrik Negara</title>
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        <invCountry>ID</invCountry>
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        <name>Bank of America, National Association</name>
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        <title>CURRENCY CONTRACT - NOK</title>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US ULTRA BOND CBT</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31397LF61</cusip>
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          <isin value="US31397LF611"/>
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        <valUSD>66138.39000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>KEURIG DR PEPPER INC</name>
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        <title>Keurig Dr Pepper Inc</title>
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          <isin value="US49271VAR15"/>
          <other otherDesc="SEDOL" value="BNTX3Z6"/>
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        <balance>127000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHINA GOVERNMENT BOND</name>
        <lei>300300CHN201808MOF68</lei>
        <title>China Government Bond</title>
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          <isin value="CND100037XX3"/>
          <other otherDesc="SEDOL" value="BKPTYX2"/>
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        <balance>50420000.00000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="6.58700000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.85000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CIGNA CORP</name>
        <lei>549300VIWYMSIGT1U456</lei>
        <title>Cigna Corp</title>
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          <isin value="US125523BZ27"/>
          <other otherDesc="SEDOL" value="BLCB7N9"/>
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        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>255139.53000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRISTOL-MYERS SQUIBB CO</name>
        <lei>HLYYNH7UQUORYSJQCN42</lei>
        <title>Bristol-Myers Squibb Co</title>
        <cusip>110122CR7</cusip>
        <identifiers>
          <isin value="US110122CR72"/>
          <other otherDesc="SEDOL" value="BMW2G98"/>
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        <balance>72000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69314.91000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-10-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</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>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Corp Trust 2017-SLP</title>
        <cusip>36255MAN7</cusip>
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          <isin value="US36255MAN74"/>
          <other otherDesc="SEDOL" value="BDDMN59"/>
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        <balance>1760000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1728126.58000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.74434300</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31397UGJ2</cusip>
        <identifiers>
          <isin value="US31397UGJ25"/>
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        <balance>3100382.44000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>456817.79000000</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>2041-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.89214000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citimortgage Alternative Loan</name>
        <lei>N/A</lei>
        <title>CitiMortgage Alternative Loan Trust Series 2006-A3</title>
        <cusip>17309KAG2</cusip>
        <identifiers>
          <isin value="US17309KAG22"/>
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        <balance>309313.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286487.90000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="MM003V0XA"/>
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        <balance>-3185000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-0.81000000</valUSD>
        <pctVal>-0.00000024990</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <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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                    <lei>B4TYDEB6GKMZO031MB27</lei>
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                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
                      <issueTitle>THE SECURED OVERNIGHT FINANCING RATE</issueTitle>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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          <other otherDesc="INTERNAL" value="CCTUSD__01131650"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="BIN1SUZQ1"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9633.67000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>REPUBLIC OF COLOMBIA</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>Colombia Government International Bond</title>
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        <identifiers>
          <isin value="US195325DQ52"/>
          <other otherDesc="SEDOL" value="BGC21T1"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>CO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31397LN70</cusip>
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        <balance>692466.11000000</balance>
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        <curCd>USD</curCd>
        <valUSD>74028.57000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>549300TCRXCIFPAC3B85</lei>
        <title>Freddie Mac STACR REMIC Trust 2020-HQA1</title>
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        <identifiers>
          <isin value="US35565JAH41"/>
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        <balance>170623.42000000</balance>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>CURRENCY CONTRACT - NOK</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <name>ICE FUTURES EUROPE</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>Fannie Mae</name>
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        <name>WILLIAMS COMPANIES INC</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>FHLMC Multifamily Structured P</name>
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        <name>AMERICAN HOMES 4 RENT</name>
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        <name>Freddiemac Strip</name>
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        <name>MPLX LP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>US TREASURY N/B</name>
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        <name>MISSISSIPPI POWER CO</name>
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        <name>Woodward Capital Management</name>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <name>EVERSOURCE ENERGY</name>
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        <name>Citibank, National Association</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UBS-Barclays Commercial Mortga</name>
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        <name>SUMITOMO MITSUI FINL GRP</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <name>BANGKOK BANK PCL/HK</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Galaxy CLO Ltd</name>
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        <title>Galaxy XXI CLO Ltd</title>
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        <name>Bank of America, National Association</name>
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        <name>AMERICAN ELECTRIC POWER</name>
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        <title>American Electric Power Co Inc</title>
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      <invstOrSec>
        <name>UNITEDHEALTH GROUP INC</name>
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        <title>UnitedHealth Group Inc</title>
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        <fairValLevel>2</fairValLevel>
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        <name>BDS Ltd</name>
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      <invstOrSec>
        <name>LADDER CAP FIN LLLP/CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Countrywide Alternative Loan T</name>
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        <name>ISRAEL ELECTRIC CORP LTD</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>SUMMIT DIGITEL INFRASTR</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>GAZPROM PJSC (GAZ FN)</name>
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        <name>BNP PARIBAS</name>
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        <title>CURRENCY CONTRACT - USD</title>
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        <fairValLevel>2</fairValLevel>
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        <name>DOMINICAN REPUBLIC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SUZANO AUSTRIA GMBH</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BECTON DICKINSON AND CO</name>
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        <title>Becton Dickinson and Co</title>
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        <curCd>USD</curCd>
        <valUSD>90623.55000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LSTAR Commercial Mortgage Trus</name>
        <lei>N/A</lei>
        <title>LSTAR Commercial Mortgage Trust 2017-5</title>
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          <isin value="US54910TBA97"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>BATH &amp; BODY WORKS INC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CHINA GOVERNMENT BOND</name>
        <lei>300300CHN201808MOF68</lei>
        <title>China Government Bond</title>
        <cusip>000000000</cusip>
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          <isin value="CND10002HV84"/>
          <other otherDesc="SEDOL" value="BKTFDX9"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CN</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ATHENE GLOBAL FUNDING</name>
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        <title>Athene Global Funding</title>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>SONIC AUTOMOTIVE INC</name>
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        <title>Sonic Automotive Inc</title>
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        <name>VTR COMUNICACIONES SPA</name>
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        <name>RUSSIAN FEDERATION</name>
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        <name>TENET HEALTHCARE CORP</name>
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        <title>Tenet Healthcare Corp</title>
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        <name>LOWE'S COS INC</name>
        <lei>WAFCR4OKGSC504WU3E95</lei>
        <title>Lowe's Cos Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CANADIAN IMPERIAL BANK</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MYLAN INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DUKE ENERGY CAROLINAS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ECOLAB INC</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2055-08-18</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>KINGDOM OF MOROCCO</name>
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          <isin value="US617726AK00"/>
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        <curCd>USD</curCd>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>MA</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="BIN140BD8"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>OCP CLO Ltd</name>
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        <title>Peruvian Government International Bond</title>
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        <invCountry>PE</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <name>DELTA AIR LINES/SKYMILES</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>CREDIT SUISSE NEW YORK</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae REMICS</title>
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        <name>Wells Fargo Mortgage Backed Se</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>CD Commercial Mortgage Trust</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>Government National Mortgage A</name>
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        <name>Freddie Mac</name>
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        <name>Government National Mortgage A</name>
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        <name>IVORY COAST</name>
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        <name>Freddie Mac</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DOMINICAN REPUBLIC</name>
        <lei>254900EHU7Q8FGVPI369</lei>
        <title>Dominican Republic International Bond</title>
        <cusip>25714PEN4</cusip>
        <identifiers>
          <isin value="US25714PEN42"/>
          <other otherDesc="SEDOL" value="BPP2JS6"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>273264.70000000</valUSD>
        <pctVal>0.084309224408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>DO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings PLC</title>
        <cusip>404280CC1</cusip>
        <identifiers>
          <isin value="US404280CC17"/>
          <other otherDesc="SEDOL" value="BK5JGQ9"/>
        </identifiers>
        <balance>890000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>841042.60000000</valUSD>
        <pctVal>0.259483384794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.97300000</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>MYLAN INC</name>
        <lei>30ZMPDNA1RHIBH89C294</lei>
        <title>Mylan Inc</title>
        <cusip>628530BD8</cusip>
        <identifiers>
          <isin value="US628530BD84"/>
          <other otherDesc="SEDOL" value="BGN8262"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>504485.52000000</valUSD>
        <pctVal>0.155646824916</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.20000000</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>SIEMENS FINANCIERINGSMAT</name>
        <lei>TAFO772JB70PDRN5VS48</lei>
        <title>Siemens Financieringsmaatschappij NV</title>
        <cusip>82620KAL7</cusip>
        <identifiers>
          <isin value="US82620KAL70"/>
          <other otherDesc="SEDOL" value="BD3RT90"/>
        </identifiers>
        <balance>290000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>274329.63000000</valUSD>
        <pctVal>0.084637782844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.35000000</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>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2020-B18 Mortgage Trust</title>
        <cusip>08163ABP7</cusip>
        <identifiers>
          <isin value="US08163ABP75"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270780.06000000</valUSD>
        <pctVal>0.083542648735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75900000</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>APPLE INC</name>
        <lei>HWUPKR0MPOU8FGXBT394</lei>
        <title>Apple Inc</title>
        <cusip>037833EL0</cusip>
        <identifiers>
          <isin value="US037833EL06"/>
          <other otherDesc="SEDOL" value="BL6LZ19"/>
        </identifiers>
        <balance>120000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90416.12000000</valUSD>
        <pctVal>0.027895710464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2061-08-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.85000000</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>ROYALTY PHARMA PLC</name>
        <lei>549300FGFN7VOK8BZR03</lei>
        <title>Royalty Pharma PLC</title>
        <cusip>78081BAM5</cusip>
        <identifiers>
          <isin value="US78081BAM54"/>
          <other otherDesc="SEDOL" value="BKP4QV9"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221151.99000000</valUSD>
        <pctVal>0.068231106152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-09-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.55000000</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>KLABIN AUSTRIA GMBH</name>
        <lei>984500578YEA8DD41B09</lei>
        <title>Klabin Austria GmbH</title>
        <cusip>49836AAA2</cusip>
        <identifiers>
          <isin value="US49836AAA25"/>
          <other otherDesc="SEDOL" value="BJ88YK6"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>295528.50000000</valUSD>
        <pctVal>0.091178182274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AT</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-03</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75000000</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>ARAB REPUBLIC OF EGYPT</name>
        <lei>529900GFIVH4086NMH82</lei>
        <title>Egypt Government International Bond</title>
        <cusip>03846JX54</cusip>
        <identifiers>
          <isin value="US03846JX543"/>
          <other otherDesc="SEDOL" value="BMQC4V2"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>156427.60000000</valUSD>
        <pctVal>0.048261958577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>EG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.62500000</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>ROMANIA</name>
        <lei>315700IASY927EDWBK92</lei>
        <title>Romanian Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS2258398911"/>
          <other otherDesc="SEDOL" value="BMYD8V5"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.94791000"/>
        <valUSD>140908.95000000</valUSD>
        <pctVal>0.043474053863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.62500000</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>ENRGY TRANS LP/REG FIN</name>
        <lei>N/A</lei>
        <title>Energy Transfer LP / Regency Energy Finance Corp</title>
        <cusip>75886AAJ7</cusip>
        <identifiers>
          <isin value="US75886AAJ79"/>
          <other otherDesc="SEDOL" value="BHB23D7"/>
        </identifiers>
        <balance>286000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>288734.22000000</valUSD>
        <pctVal>0.089081971247</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Commercial Mortgage</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2016-C2</title>
        <cusip>17291CAG0</cusip>
        <identifiers>
          <isin value="US17291CAG06"/>
        </identifiers>
        <balance>360000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270324.29000000</valUSD>
        <pctVal>0.083402031908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.57859000</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>REPUBLIC OF COLOMBIA</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>Colombia Government International Bond</title>
        <cusip>195325DR3</cusip>
        <identifiers>
          <isin value="US195325DR36"/>
          <other otherDesc="SEDOL" value="BKLWBB2"/>
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        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200361.25000000</valUSD>
        <pctVal>0.061816625378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <loanByFundCondition isLoanByFund="Y" loanVal="200361.25000000"/>
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      <invstOrSec>
        <name>GS Mortgage-Backed Securities</name>
        <lei>N/A</lei>
        <title>GS Mortgage-Backed Securities Corp Trust 2021-PJ3</title>
        <cusip>36262AAD6</cusip>
        <identifiers>
          <isin value="US36262AAD63"/>
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        <balance>870540.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>761616.21000000</valUSD>
        <pctVal>0.234978290142</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.50000000</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>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2019-B9 Mortgage Trust</title>
        <cusip>08160JAY3</cusip>
        <identifiers>
          <isin value="US08160JAY38"/>
        </identifiers>
        <balance>280000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>225737.88000000</valUSD>
        <pctVal>0.069645971771</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>ORACLE CORP</name>
        <lei>1Z4GXXU7ZHVWFCD8TV52</lei>
        <title>Oracle Corp</title>
        <cusip>68389XBU8</cusip>
        <identifiers>
          <isin value="US68389XBU81"/>
          <other otherDesc="SEDOL" value="BM5J9Z3"/>
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        <balance>316000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>292685.12000000</valUSD>
        <pctVal>0.090300926036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.80000000</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>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137ASCZ5</cusip>
        <identifiers>
          <isin value="US3137ASCZ52"/>
        </identifiers>
        <balance>569467.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18641.96000000</valUSD>
        <pctVal>0.005751526593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.14586000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>Morgan Stanley Residential Mor</name>
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        <name>WOLVERINE WORLD WIDE</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>ADVANCE AUTO PARTS</name>
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        <name>Neuberger Berman CLO Ltd</name>
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        <name>Government National Mortgage A</name>
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        <name>CSC HOLDINGS LLC</name>
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        <name>WELLS FARGO &amp; COMPANY</name>
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        <name>NATWEST GROUP PLC</name>
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        <invCountry>GB</invCountry>
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        <name>DEVELOPMENT BANK OF KAZA</name>
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        <name>UBS-Barclays Commercial Mortga</name>
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        <name>CROWN CASTLE INTL CORP</name>
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        <name>Bluemountain CLO Ltd</name>
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        <name>OOREDOO INTL FINANCE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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        <name>POST HOLDINGS INC</name>
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        <name>GC TREASURY CENTRE CO</name>
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        <name>Freddie Mac</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>Freddiemac Strip</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Strips</title>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>State Street Bank and Trust Company</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>State Street Bank and Trust Company</counterpartyName>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <cusip>000000000</cusip>
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        <fairValLevel>2</fairValLevel>
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        <name>PETROLEOS DEL PERU SA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BROWN BROTHERS HARRIMAN &amp; CO.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Sequoia Mortgage Trust</name>
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        <name>HOME DEPOT INC</name>
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        <name>Fannie Mae</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>Fannie Mae</name>
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        <name>Government National Mortgage A</name>
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        <name>Freddiemac Strip</name>
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      </invstOrSec>
      <invstOrSec>
        <name>COOPERATIEVE RABOBANK UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
        <cusip>74977RDP6</cusip>
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          <isin value="US74977RDP64"/>
          <other otherDesc="SEDOL" value="BMFTGL8"/>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>232918.71000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2033-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75800000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>US TREASURY N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>91282CEG2</cusip>
        <identifiers>
          <isin value="US91282CEG24"/>
          <other otherDesc="SEDOL" value="BPRT3W7"/>
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        <balance>179000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>177503.67000000</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>2024-03-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>METROPOLITAN EDISON CO</name>
        <lei>N/A</lei>
        <title>Metropolitan Edison Co</title>
        <cusip>591894CB4</cusip>
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          <isin value="US591894CB44"/>
          <other otherDesc="SEDOL" value="BJFTXP0"/>
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        <balance>428000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>420000.23000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>CHINA GOVERNMENT BOND</name>
        <lei>300300CHN201808MOF68</lei>
        <title>China Government Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="CND10004GNL8"/>
          <other otherDesc="SEDOL" value="BMYX3G5"/>
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        <balance>4500000.00000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="6.58700000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.69000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DANSKE BANK A/S</name>
        <lei>MAES062Z21O4RZ2U7M96</lei>
        <title>Danske Bank A/S</title>
        <cusip>23636AAV3</cusip>
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          <isin value="US23636AAV35"/>
          <other otherDesc="SEDOL" value="BKTPNX9"/>
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        <balance>215000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>208816.95000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.24400000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BURLINGTN NORTH SANTA FE</name>
        <lei>N/A</lei>
        <title>Burlington Northern Santa Fe LLC</title>
        <cusip>12189LAZ4</cusip>
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          <isin value="US12189LAZ40"/>
          <other otherDesc="SEDOL" value="BYP8NL8"/>
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        <balance>149000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>137785.50000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.90000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ANTHEM INC</name>
        <lei>8MYN82XMYQH89CTMTH67</lei>
        <title>Anthem Inc</title>
        <cusip>036752AU7</cusip>
        <identifiers>
          <isin value="US036752AU73"/>
          <other otherDesc="SEDOL" value="BQ2JCX3"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>97706.68000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.55000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SIBUR SECURITIES DAC</name>
        <lei>635400EHVYJXNYBPWI41</lei>
        <title>Sibur Securities DAC</title>
        <cusip>825795AC1</cusip>
        <identifiers>
          <isin value="US825795AC13"/>
          <other otherDesc="SEDOL" value="BMVF751"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>82500.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95000000</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>ENERGY TRANSFER LP</name>
        <lei>MTLVN9N7JE8MIBIJ1H73</lei>
        <title>Energy Transfer LP</title>
        <cusip>29273RAY5</cusip>
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          <isin value="US29273RAY53"/>
          <other otherDesc="SEDOL" value="BDWGZV2"/>
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        <balance>969000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>983197.88000000</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>Fixed</couponKind>
          <annualizedRt>4.90000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ANGLO AMERICAN CAPITAL</name>
        <lei>TINT358G1SSHR3L3PW36</lei>
        <title>Anglo American Capital PLC</title>
        <cusip>034863AS9</cusip>
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          <isin value="US034863AS94"/>
          <other otherDesc="SEDOL" value="BD5WJ26"/>
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        <balance>600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>597042.62000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.62500000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-53T2</title>
        <cusip>12668AKU8</cusip>
        <identifiers>
          <isin value="US12668AKU87"/>
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        <balance>71215.57000000</balance>
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        <curCd>USD</curCd>
        <valUSD>37828.76000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.16786000</annualizedRt>
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      <invstOrSec>
        <name>MRCD Mortgage Trust</name>
        <lei>N/A</lei>
        <title>MRCD 2019-MARK Mortgage Trust</title>
        <cusip>55348UAS7</cusip>
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          <isin value="US55348UAS78"/>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.71752000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136ADB65</cusip>
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          <isin value="US3136ADB659"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179WFG8</cusip>
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          <isin value="US36179WFG87"/>
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        <balance>2508244.03000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2334710.61000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
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      <invstOrSec>
        <name>BUILDERS FIRSTSOURCE INC</name>
        <lei>549300W0SKP6L3H7DP63</lei>
        <title>Builders FirstSource Inc</title>
        <cusip>12008RAN7</cusip>
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          <isin value="US12008RAN70"/>
          <other otherDesc="SEDOL" value="BKLJ920"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
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          <isin value="US06051GKL22"/>
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        <balance>435000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>387633.34000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-03-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.84600000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ROMANIA GOVERNMENT BOND</name>
        <lei>315700IASY927EDWBK92</lei>
        <title>Romania Government Bond</title>
        <cusip>000000000</cusip>
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          <isin value="RO1624DBN027"/>
          <other otherDesc="SEDOL" value="BDVLNR0"/>
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        <balance>5510000.00000000</balance>
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        <currencyConditional curCd="RON" exchangeRt="4.68955000"/>
        <valUSD>1110876.77000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>Wells Fargo Commercial Mortgag</name>
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        <name>US AIRWAYS 2012-1A PTT</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>GRAY TELEVISION INC</name>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <name>Freddie Mac</name>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <name>Adjustable Rate Mortgage Trust</name>
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        <name>Freddie Mac</name>
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        <name>LSEGA FINANCING PLC</name>
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        <name>DXC TECHNOLOGY CO</name>
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      <invstOrSec>
        <name>O'REILLY AUTOMOTIVE INC</name>
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        <title>O'Reilly Automotive Inc</title>
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        <name>T-MOBILE USA INC</name>
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        <title>T-Mobile USA Inc</title>
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        <fairValLevel>2</fairValLevel>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>JPMORGAN CHASE &amp; CO</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>Babson CLO Ltd</name>
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        <name>CIFC Funding Ltd</name>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <name>DELTA AIRLINES 2015B</name>
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        <name>Fannie Mae</name>
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          <maturityDt>2030-06-22</maturityDt>
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          <annualizedRt>2.70000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STANDARD INDUSTRIES INC</name>
        <lei>54930064UHXCIUWVI755</lei>
        <title>Standard Industries Inc/NJ</title>
        <cusip>853496AG2</cusip>
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          <isin value="US853496AG21"/>
          <other otherDesc="SEDOL" value="BMYXXP4"/>
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        <balance>290000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>242150.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.37500000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>DUKE ENERGY CO 05/02/2022</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="26244JE21"/>
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        <balance>7000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6999683.25000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ZIFF DAVIS INC</name>
        <lei>5493008OJYGLHD7MXA18</lei>
        <title>Ziff Davis Inc</title>
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          <isin value="US48123VAF94"/>
          <other otherDesc="SEDOL" value="BMWLDK5"/>
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        <balance>386000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>344831.17000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.62500000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <title>CURRENCY CONTRACT - USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__01131647"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>116340.30000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
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            <amtCurSold>-2804435.29000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING Groep NV</title>
        <cusip>456837AQ6</cusip>
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          <isin value="US456837AQ60"/>
          <other otherDesc="SEDOL" value="BJFFD58"/>
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        <balance>355000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>342836.75000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05000000</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>HCA INC</name>
        <lei>L3CJ6J7LJ2DX62FTXD46</lei>
        <title>HCA Inc</title>
        <cusip>404119BX6</cusip>
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          <isin value="US404119BX69"/>
          <other otherDesc="SEDOL" value="BKKDGV1"/>
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        <balance>1035000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>992391.47000000</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>2029-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EVRAZ PLC</name>
        <lei>5493005B7DAN39RXLK23</lei>
        <title>Evraz PLC</title>
        <cusip>30052KAA7</cusip>
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          <isin value="US30052KAA79"/>
          <other otherDesc="SEDOL" value="BKDM273"/>
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        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>112500.00000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25000000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>US TREASURY N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>91282CDL2</cusip>
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          <isin value="US91282CDL28"/>
          <other otherDesc="SEDOL" value="BP39M35"/>
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        <balance>408600.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>372863.46000000</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>2028-11-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.50000000</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>
        <name>Rate Mortgage Trust</name>
        <lei>N/A</lei>
        <title>RATE Mortgage Trust 2021-HB1</title>
        <cusip>75409XBG0</cusip>
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          <isin value="US75409XBG07"/>
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        <balance>586637.09000000</balance>
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        <curCd>USD</curCd>
        <valUSD>513241.63000000</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>2051-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
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      <invstOrSec>
        <name>DISH DBS CORP</name>
        <lei>N/A</lei>
        <title>DISH DBS Corp</title>
        <cusip>25470XBD6</cusip>
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          <isin value="US25470XBD66"/>
          <other otherDesc="SEDOL" value="BMDHSQ3"/>
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        <balance>225000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>176010.75000000</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>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.12500000</annualizedRt>
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      <invstOrSec>
        <name>CANADIAN IMPERIAL BANK</name>
        <lei>2IGI19DL77OX0HC3ZE78</lei>
        <title>Canadian Imperial Bank of Commerce</title>
        <cusip>13607HR53</cusip>
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          <isin value="US13607HR535"/>
          <other otherDesc="SEDOL" value="BPZKDM2"/>
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        <balance>175000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>162288.01000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.60000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FMC CORP</name>
        <lei>CKDHZ2X64EEBQCSP7013</lei>
        <title>FMC Corp</title>
        <cusip>302491AT2</cusip>
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          <isin value="US302491AT29"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>193430.71000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
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        <name>APPLE INC</name>
        <lei>HWUPKR0MPOU8FGXBT394</lei>
        <title>Apple Inc</title>
        <cusip>037833EF3</cusip>
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          <isin value="US037833EF38"/>
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        <balance>350000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-02-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65000000</annualizedRt>
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      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F020653</cusip>
        <identifiers>
          <isin value="US01F0206536"/>
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        <balance>10039000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8856672.44000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>CVS HEALTH CORP</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp</title>
        <cusip>126650DN7</cusip>
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          <isin value="US126650DN71"/>
          <other otherDesc="SEDOL" value="BKSH2Z1"/>
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        <balance>169000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137939.53000000</valUSD>
        <pctVal>0.042557911027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-23CB</title>
        <cusip>02151EAC6</cusip>
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          <isin value="US02151EAC66"/>
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        <balance>156787.94000000</balance>
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        <curCd>USD</curCd>
        <valUSD>74986.86000000</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>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.16786000</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>
        <name>JPMORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
        <cusip>46625HRV4</cusip>
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        <balance>998000.00000000</balance>
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        <name>Freddie Mac</name>
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        <name>T-MOBILE USA INC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Fannie Mae</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>BPCE SA</name>
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        <name>Recette CLO LLC</name>
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        <name>CEMEX SAB DE CV</name>
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        <title>Cemex SAB de CV</title>
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      <invstOrSec>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
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        <name>Government National Mortgage A</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>STANDARD CHARTERED BANK</name>
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        <name>Freddie Mac</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>GS Mortgage Securities Trust</name>
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      <invstOrSec>
        <name>SIRIUS XM RADIO INC</name>
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      <invstOrSec>
        <name>ROCKETMTGE CO-ISSUER INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EQUINOR ASA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DTE ELECTRIC CO</name>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>COMM Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CURRENCY CONTRACT - USD</title>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="CCTUSD__01133873"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <name>MONTREAL EXCHANGE</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2019-GC40</title>
        <cusip>36257HBE5</cusip>
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        <issuerCat>CORP</issuerCat>
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        <name>ABBVIE INC</name>
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        <title>AbbVie Inc</title>
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        <name>Gam Resecuritization Trust</name>
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        <balance>220000.00000000</balance>
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        <name>CREDIT BANK OF MOSCOW (C</name>
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        <assetCat>DBT</assetCat>
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        <invCountry>IE</invCountry>

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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>VERIZON COMMUNICATIONS</name>
        <lei>2S72QS2UO2OESLG6Y829</lei>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>2.35500000</annualizedRt>
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      <invstOrSec>
        <name>Symphony CLO Ltd</name>
        <lei>N/A</lei>
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          <isin value="US87190GAJ04"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>BUNDESOBLIGATION</name>
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          <isin value="DE0001141778"/>
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        <fairValLevel>2</fairValLevel>
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        <name>US TREASURY N/B</name>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>INDIAN RAILWAY FINANCE</name>
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        <name>LCM Ltd Partnership</name>
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        <name>Freddie Mac</name>
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        <title>Post Holdings Inc</title>
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        <name>Freddie Mac</name>
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        <name>VALE OVERSEAS LIMITED</name>
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        <name>State Street Bank and Trust Company</name>
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        <name>Wells Fargo Alternative Loan T</name>
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        <name>BNP PARIBAS</name>
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        <name>Government National Mortgage A</name>
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        <name>JP Morgan Chase Commercial Mor</name>
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        <name>Fannie Mae - CAS</name>
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        <title>Fannie Mae Connecticut Avenue Securities</title>
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        <name>GCI LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>DP WORLD CRESCENT LTD</name>
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        <name>BROWN BROTHERS HARRIMAN &amp; CO.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BONOS DE TESORERIA</name>
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        <fairValLevel>2</fairValLevel>
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        <name>AMGEN INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <title>Government National Mortgage Association</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
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        <name>COMISION FEDERAL DE ELEC</name>
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        <title>Comision Federal de Electricidad</title>
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        <name>US TREASURY N/B</name>
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        <fairValLevel>2</fairValLevel>
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        <name>PERUSAHAAN LISTRIK NEGAR</name>
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        <title>Perusahaan Perseroan Persero PT Perusahaan Listrik Negara</title>
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        <invCountry>ID</invCountry>
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        <name>Bank of America, National Association</name>
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        <name>ROCKETMTGE CO-ISSUER INC</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae Pool</title>
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        <title>Public Service Enterprise Group Inc</title>
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        <title>Freddie Mac Multifamily ML Certificates</title>
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        <name>SUMITOMO MITSUI TR BK LT</name>
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        <title>Sumitomo Mitsui Trust Bank Ltd</title>
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        <name>BAT CAPITAL CORP</name>
        <lei>2138005GYEXN7XRHFA84</lei>
        <title>BAT Capital Corp</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>COMCAST CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>INGEVITY CORP</name>
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        <title>Ingevity Corp</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UNITED MEXICAN STATES</name>
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        <title>Mexico Government International Bond</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EXXON MOBIL CORPORATION</name>
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        <title>Exxon Mobil Corp</title>
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        <fairValLevel>2</fairValLevel>
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        <name>EXTRA SPACE STORAGE LP</name>
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        <title>Extra Space Storage LP</title>
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          <isin value="US30225VAG23"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>PLAINS ALL AMER PIPELINE</name>
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        <balance>301000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>US TREASURY N/B</name>
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        <title>United States Treasury Note/Bond</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2031-02-15</maturityDt>
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      <invstOrSec>
        <name>Gam Resecuritization Trust</name>
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        <balance>413000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>PT PERTAMINA (PERSERO)</name>
        <lei>254900NDAKGNZ2IBBL45</lei>
        <title>Pertamina Persero PT</title>
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        <invCountry>ID</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Shackleton CLO LTD</name>
        <lei>549300O6RVX5OXLL7335</lei>
        <title>Shackleton 2019-XV CLO Ltd</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>STANDARD INDUSTRIES INC</name>
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        <title>Standard Industries Inc/NJ</title>
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        <name>BNP PARIBAS</name>
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        <title>CURRENCY CONTRACT - USD</title>
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        <name>JPMORGAN CHASE &amp; CO</name>
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        <title>JPMorgan Chase &amp; Co</title>
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        <invCountry>US</invCountry>
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          <annualizedRt>2.94700000</annualizedRt>
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        <name>ALTRIA GROUP INC</name>
        <lei>XSGZFLO9YTNO9VCQV219</lei>
        <title>Altria Group Inc</title>
        <cusip>02209SAQ6</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>CDW LLC/CDW FINANCE</name>
        <lei>N/A</lei>
        <title>CDW LLC / CDW Finance Corp</title>
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        <name>Fannie Mae</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>TEVA PHARMACEUTICAL INDU</name>
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        <name>CREDIT SUISSE GROUP AG</name>
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        <name>MORGAN STANLEY</name>
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        <name>SEAGATE HDD CAYMAN</name>
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      <invstOrSec>
        <name>EVERGY KANSAS CENTRAL</name>
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        <name>Freddie Mac</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BNP PARIBAS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>US TREASURY N/B</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MERCADOLIBRE INC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ENBRIDGE U S I 07/01/2022</name>
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          <other otherDesc="INTERNAL" value="29251VG18"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SELECTIVE INSURANCE GROU</name>
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        <title>Selective Insurance Group Inc</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BDS Ltd</name>
        <lei>N/A</lei>
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        <balance>1190000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-02-16</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GENM CAPITAL LABUAN</name>
        <lei>254900DWSHIWTSE0YG58</lei>
        <title>Genm Capital Labuan Ltd</title>
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        <balance>200000.00000000</balance>
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        <invCountry>MY</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ALLIANT ENERGY FINANCE</name>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2032-03-01</maturityDt>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>BNP PARIBAS</name>
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        <title>BNP Paribas SA</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>3.50000000</annualizedRt>
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        <name>COMCAST CORP</name>
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        <title>Comcast Corp</title>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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        <name>CSAIL Commercial Mortgage Trus</name>
        <lei>N/A</lei>
        <title>CSAIL 2020-C19 Commercial Mortgage Trust</title>
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          <isin value="US12597NAE31"/>
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        <balance>350000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
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          <annualizedRt>2.50000000</annualizedRt>
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        <name>DAVITA INC</name>
        <lei>M2XHYMU3TZNEZURC6H66</lei>
        <title>DaVita Inc</title>
        <cusip>23918KAT5</cusip>
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          <other otherDesc="SEDOL" value="BMFBJQ0"/>
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        <balance>175000.00000000</balance>
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        <curCd>USD</curCd>
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        <name>Gam Resecuritization Trust</name>
        <lei>N/A</lei>
        <title>GAM RE-REMIC Trust 2022-FRR3</title>
        <cusip>36459DCG4</cusip>
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          <isin value="US36459DCG43"/>
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        <balance>186000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <name>REPUBLIC OF ARGENTINA</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>Argentine Republic Government International Bond</title>
        <cusip>040114HT0</cusip>
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        <balance>172561.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>49455.98000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Palmer Square CLO Ltd</name>
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      <invstOrSec>
        <name>KAZMUNAYGAS NATIONAL CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BANK OF AMERICA CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ANHEUSER-BUSCH INBEV WOR</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BROWN BROTHERS HARRIMAN &amp; CO.</name>
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      <invstOrSec>
        <name>WF-RBS COMMERCIAL MORTGAGE TRU</name>
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        <title>WFRBS Commercial Mortgage Trust 2014-C19</title>
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          <isin value="US92938VAW54"/>
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        <curCd>USD</curCd>
        <valUSD>158397.22000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <name>BUNDESREPUB. DEUTSCHLAND</name>
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        <title>Bundesrepublik Deutschland Bundesanleihe</title>
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        <fairValLevel>2</fairValLevel>
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        <name>COLBUN SA</name>
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        <name>UNITED MEXICAN STATES</name>
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        <title>Mexico Government International Bond</title>
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          <isin value="XS2280637039"/>
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        <name>GS Mortgage Securities Trust</name>
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        <title>GS Mortgage Securities Trust 2019-GC40</title>
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        <name>RBC DOMINION SECURITIES INC.</name>
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        <name>BAUSCH HEALTH COS INC</name>
        <lei>B3BS7ACMDUWISF18KY76</lei>
        <title>Bausch Health Cos Inc</title>
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        <name>GreenPoint Mortgage Funding Tr</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>Government National Mortgage A</name>
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        <name>JP Morgan Chase Commercial Mor</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>T-MOBILE USA INC</name>
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        <title>T-Mobile USA Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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          <other otherDesc="SEDOL" value="BFMC871"/>
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        <invCountry>CA</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <curCd>USD</curCd>
        <valUSD>-16896.09000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140QBFD5</cusip>
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        <balance>124762.94000000</balance>
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        <curCd>USD</curCd>
        <valUSD>125623.99000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Rad CLO Ltd</name>
        <lei>N/A</lei>
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        <cusip>48662LAE1</cusip>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>241696.50000000</valUSD>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PILGRIM'S PRIDE CORP</name>
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        <title>Pilgrim's Pride Corp</title>
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          <isin value="US72147KAG31"/>
          <other otherDesc="SEDOL" value="BNBTR16"/>
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        <balance>155000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>131208.28000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>TENGIZCHEVROIL FIN CO IN</name>
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        <title>Tengizchevroil Finance Co International Ltd</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CURRENCY CONTRACT - JPY</title>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>State Street Bank and Trust Company</name>
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        <title>CURRENCY CONTRACT - GBP</title>
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        <name>BANK OF AMERICA CORP</name>
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        <name>ELEMENT SOLUTIONS INC</name>
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        <title>Element Solutions Inc</title>
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        <name>JPMORGAN CHASE &amp; CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BUNDESREPUB. DEUTSCHLAND</name>
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        <title>Bundesrepublik Deutschland Bundesanleihe</title>
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      <invstOrSec>
        <name>ONEOK INC</name>
        <lei>2T3D6M0JSY48PSZI1Q41</lei>
        <title>ONEOK Inc</title>
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      <invstOrSec>
        <name>COMCAST CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>Fannie Mae or Freddie Mac</name>
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      <invstOrSec>
        <name>DUKE ENERGY CAROLINAS</name>
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      <invstOrSec>
        <name>AGL CLO Ltd.</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>Freddie Mac</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>BENCHMARK Mortgage Trust</name>
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        <name>UNITED RENTALS NORTH AM</name>
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        <name>DUKE ENERGY FLORIDA LLC</name>
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        <name>BERKSHIRE HATHAWAY FIN</name>
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        <name>BERKSHIRE HATHAWAY ENERG</name>
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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Deutsche Bank Commercial Mortg</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BX Trust 2019-OC11</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>AEP TEXAS INC</name>
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        <name>INTL FLAVOR &amp; FRAGRANCES</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CURRENCY CONTRACT - JPY</title>
        <cusip>000000000</cusip>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <name>PERUSAHAAN LISTRIK NEGAR</name>
        <lei>254900OYVDRYS9J51J61</lei>
        <title>Perusahaan Perseroan Persero PT Perusahaan Listrik Negara</title>
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        <invCountry>ID</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>FALABELLA SA</name>
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        <title>Falabella SA</title>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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        <name>Fannie Mae - CAS</name>
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        <name>COMM Mortgage Trust</name>
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        <title>Berry Global Inc</title>
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        <name>UBS GROUP AG</name>
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        <title>UBS Group AG</title>
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        <invCountry>CH</invCountry>
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        <title>Turkey Government International Bond</title>
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        <name>STANDARD CHARTERED BANK</name>
        <lei>RILFO74KP1CM8P6PCT96</lei>
        <title>CURRENCY CONTRACT - USD</title>
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        <name>SOUTH32 TREASURY LTD</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UKRAINE GOVERNMENT</name>
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        <name>HCA INC</name>
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        <name>HSBC HOLDINGS PLC</name>
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        <name>SEMPRA ENERGY</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BANK OF AMERICA CORP</name>
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        <name>Freddie Mac</name>
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        <name>Galaxy CLO Ltd</name>
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        <name>Government National Mortgage A</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <curCd>USD</curCd>
        <valUSD>167939.02000000</valUSD>
        <pctVal>0.051813529241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.22500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STANDARD CHARTERED BANK</name>
        <lei>RILFO74KP1CM8P6PCT96</lei>
        <title>JPY CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="MM003STJ3"/>
        </identifiers>
        <balance>1867000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>52488.46000000</valUSD>
        <pctVal>0.016194046845</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
                    <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>STANDARD CHARTERED BANK</name>
                    <lei>RILFO74KP1CM8P6PCT96</lei>
                    <title>JPY CALL VERSUS USD PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="471425_MM003STJ3_SCBLUS3_S"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="JPY" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>JPY</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2025-02-27</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>107.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-02-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-41206.94000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENTERGY CORP</name>
        <lei>4XM3TW50JULSLG8BNC79</lei>
        <title>Entergy Corp</title>
        <cusip>29364GAL7</cusip>
        <identifiers>
          <isin value="US29364GAL77"/>
          <other otherDesc="SEDOL" value="BMFKWF7"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176139.56000000</valUSD>
        <pctVal>0.054343607832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.80000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANGLOGOLD HOLDINGS PLC</name>
        <lei>213800745ZIXC4L6A131</lei>
        <title>AngloGold Ashanti Holdings PLC</title>
        <cusip>03512TAF8</cusip>
        <identifiers>
          <isin value="US03512TAF84"/>
          <other otherDesc="SEDOL" value="BMX71K8"/>
        </identifiers>
        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357723.36000000</valUSD>
        <pctVal>0.110366904450</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>3.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALBERTSONS COS/SAFEWAY</name>
        <lei>N/A</lei>
        <title>Albertsons Cos Inc / Safeway Inc / New Albertsons LP / Albertsons LLC</title>
        <cusip>013092AG6</cusip>
        <identifiers>
          <isin value="US013092AG61"/>
          <other otherDesc="SEDOL" value="BKPMPR2"/>
        </identifiers>
        <balance>315000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>265770.23000000</valUSD>
        <pctVal>0.081996986666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DANA INC</name>
        <lei>KVWHW7YLZPFJM8QYNJ51</lei>
        <title>Dana Inc</title>
        <cusip>235825AF3</cusip>
        <identifiers>
          <isin value="US235825AF32"/>
          <other otherDesc="SEDOL" value="BKWF8Q4"/>
        </identifiers>
        <balance>135000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127825.43000000</valUSD>
        <pctVal>0.039437449707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIGNA CORP</name>
        <lei>549300VIWYMSIGT1U456</lei>
        <title>Cigna Corp</title>
        <cusip>125523CK4</cusip>
        <identifiers>
          <isin value="US125523CK49"/>
          <other otherDesc="SEDOL" value="BLGBMK7"/>
        </identifiers>
        <balance>63000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49556.27000000</valUSD>
        <pctVal>0.015289390427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.40000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEVERSTAL (STEEL CAP)</name>
        <lei>222100O3LN8LHUW6LJ83</lei>
        <title>Severstal OAO Via Steel Capital SA</title>
        <cusip>85805RAE8</cusip>
        <identifiers>
          <isin value="US85805RAE80"/>
          <other otherDesc="SEDOL" value="BLCB8X6"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25000.00000000</valUSD>
        <pctVal>0.007713146301</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.15000000</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAPITAL ONE FINANCIAL CO</name>
        <lei>ZUE8T73ROZOF6FLBAR73</lei>
        <title>Capital One Financial Corp</title>
        <cusip>14040HCH6</cusip>
        <identifiers>
          <isin value="US14040HCH66"/>
          <other otherDesc="SEDOL" value="BNVW1F7"/>
        </identifiers>
        <balance>130000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116403.81000000</valUSD>
        <pctVal>0.035913584664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.87800000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>Lloyds Banking Group PLC</title>
        <cusip>539439AP4</cusip>
        <identifiers>
          <isin value="US539439AP41"/>
          <other otherDesc="SEDOL" value="BF92VX1"/>
        </identifiers>
        <balance>316000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>315503.79000000</valUSD>
        <pctVal>0.097341075641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.90700000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddiemac Strip</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Strips</title>
        <cusip>31325WR79</cusip>
        <identifiers>
          <isin value="US31325WR796"/>
        </identifiers>
        <balance>6875263.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1576943.48000000</valUSD>
        <pctVal>0.486527830836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2022-06-23</ncom:dateSigned>
      <ncom:nameOfApplicant>Voya Mutual Funds</ncom:nameOfApplicant>
      <ncom:signature>Tin Bui</ncom:signature>
      <ncom:signerName>Tin Bui</ncom:signerName>
      <ncom:title>Vice President</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
