<SEC-DOCUMENT>0001510599-19-000047.txt : 20191126
<SEC-HEADER>0001510599-19-000047.hdr.sgml : 20191126
<ACCEPTANCE-DATETIME>20191126113425
ACCESSION NUMBER:		0001510599-19-000047
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20190930
FILED AS OF DATE:		20191126
PERIOD START:           	20200630

FILER:

	COMPANY DATA:	
		COMPANY CONFORMED NAME:			PIMCO Dynamic Income Fund
		CENTRAL INDEX KEY:			0001510599
		IRS NUMBER:				274580758
		STATE OF INCORPORATION:			MA
		FISCAL YEAR END:			0630

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-22673
		FILM NUMBER:		191248500

	BUSINESS ADDRESS:	
		STREET 1:		1633 BROADWAY
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019
		BUSINESS PHONE:		212-739-4000

	MAIL ADDRESS:	
		STREET 1:		1633 BROADWAY
		CITY:			NEW YORK
		STATE:			NY
		ZIP:			10019
</SEC-HEADER>
<DOCUMENT>
<TYPE>NPORT-P
<SEQUENCE>1
<FILENAME>primary_doc.xml
<TEXT>
<XML>
<?xml version="1.0" encoding="UTF-8"?><edgarSubmission xmlns="http://www.sec.gov/edgar/nport" xmlns:com="http://www.sec.gov/edgar/common" xmlns:ncom="http://www.sec.gov/edgar/nportcommon" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
  <headerData>
    <submissionType>NPORT-P</submissionType>
    <isConfidential>false</isConfidential>
    <filerInfo>

      <filer>
        <issuerCredentials>
          <cik>0001510599</cik>
          <ccc>XXXXXXXX</ccc>
        </issuerCredentials>
      </filer>




    </filerInfo>
  </headerData>
  <formData>
    <genInfo>
      <regName>PIMCO Dynamic Income Fund</regName>
      <regFileNumber>811-22673</regFileNumber>
      <regCik>0001510599</regCik>
      <regLei>F0MWMXS5YG3P711FB044</regLei>
      <regStreet1>1633 Broadway</regStreet1>
      <regCity>New York</regCity>
      <regStateConditional regCountry="US" regState="US-NY"/>
      <regZipOrPostalCode>10019</regZipOrPostalCode>
      <regPhone>(844) 337-4626</regPhone>
      <seriesName>N/A</seriesName>
      <seriesLei>N/A</seriesLei>
      <repPdEnd>2020-06-30</repPdEnd>
      <repPdDate>2019-09-30</repPdDate>
      <isFinalFiling>N</isFinalFiling>
    </genInfo>
    <fundInfo>
      <totAssets>2708732484.330000</totAssets>
      <totLiabs>1159254462.920000</totLiabs>
      <netAssets>1549478021.410000</netAssets>
      <assetsAttrMiscSec>0.000000</assetsAttrMiscSec>
      <assetsInvested>0.000000</assetsInvested>
      <amtPayOneYrBanksBorr>1090359000.410000</amtPayOneYrBanksBorr>
      <amtPayOneYrCtrldComp>0.000000</amtPayOneYrCtrldComp>
      <amtPayOneYrOthAffil>0.000000</amtPayOneYrOthAffil>
      <amtPayOneYrOther>0.000000</amtPayOneYrOther>
      <amtPayAftOneYrBanksBorr>0.000000</amtPayAftOneYrBanksBorr>
      <amtPayAftOneYrCtrldComp>0.000000</amtPayAftOneYrCtrldComp>
      <amtPayAftOneYrOthAffil>0.000000</amtPayAftOneYrOthAffil>
      <amtPayAftOneYrOther>0.000000</amtPayAftOneYrOther>
      <delayDeliv>0.000000</delayDeliv>
      <standByCommit>0.000000</standByCommit>
      <liquidPref>0.000000</liquidPref>
      <cshNotRptdInCorD>21193792.100000</cshNotRptdInCorD>
      <curMetrics>
        <curMetric>
          <curCd>PEN</curCd>
          <intrstRtRiskdv01 period10Yr="4524.995417" period1Yr="40.004172" period30Yr="6.610211" period3Mon="0.000000" period5Yr="5289.833848"/>
          <intrstRtRiskdv100 period10Yr="430981.082202" period1Yr="3989.302233" period30Yr="610.573037" period3Mon="0.000000" period5Yr="507436.709590"/>
        </curMetric>
        <curMetric>
          <curCd>EUR</curCd>
          <intrstRtRiskdv01 period10Yr="-21849.218360" period1Yr="15939.176451" period30Yr="-8170.345312" period3Mon="14.450689" period5Yr="13734.723687"/>
          <intrstRtRiskdv100 period10Yr="-2055646.306745" period1Yr="1369660.122695" period30Yr="-686675.276163" period3Mon="-14788.690486" period5Yr="1177504.011989"/>
        </curMetric>
        <curMetric>
          <curCd>GBP</curCd>
          <intrstRtRiskdv01 period10Yr="-72226.846640" period1Yr="13528.864331" period30Yr="-37288.016688" period3Mon="-1745.845598" period5Yr="19914.555429"/>
          <intrstRtRiskdv100 period10Yr="-6959388.582372" period1Yr="1373598.423283" period30Yr="-3140068.836554" period3Mon="-178211.472325" period5Yr="1968245.623318"/>
        </curMetric>
        <curMetric>
          <curCd>ARS</curCd>
          <intrstRtRiskdv01 period10Yr="0.000000" period1Yr="-271.181526" period30Yr="0.000000" period3Mon="-414.582496" period5Yr="0.000000"/>
          <intrstRtRiskdv100 period10Yr="0.000000" period1Yr="-26731.486121" period30Yr="0.000000" period3Mon="-40835.910240" period5Yr="0.000000"/>
        </curMetric>
        <curMetric>
          <curCd>USD</curCd>
          <intrstRtRiskdv01 period10Yr="203982.917637" period1Yr="107042.246114" period30Yr="-164259.012778" period3Mon="-499.598163" period5Yr="543440.425509"/>
          <intrstRtRiskdv100 period10Yr="21194381.778976" period1Yr="11132110.858929" period30Yr="-13555438.670489" period3Mon="-226423.418942" period5Yr="53524709.569671"/>
        </curMetric>
      </curMetrics>
      <creditSprdRiskInvstGrade period10Yr="9306.315900" period1Yr="44776.575000" period30Yr="-252435.149700" period3Mon="56117.064400" period5Yr="301286.956300"/>
      <creditSprdRiskNonInvstGrade period10Yr="79405.680000" period1Yr="198039.150800" period30Yr="32250.903500" period3Mon="152087.782400" period5Yr="342193.827700"/>
      <isNonCashCollateral>N</isNonCashCollateral>
      <returnInfo>
        <monthlyTotReturns>
          <monthlyTotReturn rtn1="0.404033" rtn2="-0.837733" rtn3="3.87745"/>
        </monthlyTotReturns>
        <monthlyReturnCats>
          <creditContracts>
            <mon1 netRealizedGain="985.490000" netUnrealizedAppr="-828615.200000"/>
            <mon2 netRealizedGain="2084204.700000" netUnrealizedAppr="-6231075.710000"/>
            <mon3 netRealizedGain="71522.930000" netUnrealizedAppr="-1916510.150000"/>
            <swapCategory>
              <instrMon1 netRealizedGain="985.490000" netUnrealizedAppr="-828615.200000"/>
              <instrMon2 netRealizedGain="2084204.700000" netUnrealizedAppr="-6231075.710000"/>
              <instrMon3 netRealizedGain="71522.930000" netUnrealizedAppr="-1916510.150000"/>
            </swapCategory>
          </creditContracts>
          <equityContracts>
            <mon1 netRealizedGain="0.000000" netUnrealizedAppr="-48342.960000"/>
            <mon2 netRealizedGain="0.000000" netUnrealizedAppr="-623087.040000"/>
            <mon3 netRealizedGain="0.000000" netUnrealizedAppr="644572.800000"/>
            <warrantCategory>
              <instrMon1 netRealizedGain="0.000000" netUnrealizedAppr="-48342.960000"/>
              <instrMon2 netRealizedGain="0.000000" netUnrealizedAppr="-623087.040000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="644572.800000"/>
            </warrantCategory>
          </equityContracts>
          <foreignExchgContracts>
            <mon1 netRealizedGain="-25525.640000" netUnrealizedAppr="9372282.540000"/>
            <mon2 netRealizedGain="23119.570000" netUnrealizedAppr="-3316986.970000"/>
            <mon3 netRealizedGain="-354834.700000" netUnrealizedAppr="-4679927.050000"/>
            <forwardCategory>
              <instrMon1 netRealizedGain="-25525.640000" netUnrealizedAppr="9372282.540000"/>
              <instrMon2 netRealizedGain="23119.570000" netUnrealizedAppr="-3316986.970000"/>
              <instrMon3 netRealizedGain="-354834.700000" netUnrealizedAppr="-4679927.050000"/>
            </forwardCategory>
          </foreignExchgContracts>
          <interestRtContracts>
            <mon1 netRealizedGain="-34727129.120000" netUnrealizedAppr="27813135.700000"/>
            <mon2 netRealizedGain="0.000000" netUnrealizedAppr="-22657833.320000"/>
            <mon3 netRealizedGain="-23524957.700000" netUnrealizedAppr="33863053.040000"/>
            <swapCategory>
              <instrMon1 netRealizedGain="-34727129.120000" netUnrealizedAppr="27813135.700000"/>
              <instrMon2 netRealizedGain="0.000000" netUnrealizedAppr="-22657833.320000"/>
              <instrMon3 netRealizedGain="-23524957.700000" netUnrealizedAppr="33863053.040000"/>
            </swapCategory>
          </interestRtContracts>
        </monthlyReturnCats>
        <othMon1 netRealizedGain="10175381.860000" netUnrealizedAppr="-19360804.820000"/>
        <othMon2 netRealizedGain="6075918.140000" netUnrealizedAppr="-38914012.140000"/>
        <othMon3 netRealizedGain="8914437.670000" netUnrealizedAppr="-4176942.490000"/>
      </returnInfo>
      <mon1Flow redemption="0.000000" reinvestment="1541972.710000" sales="0.000000"/>
      <mon2Flow redemption="0.000000" reinvestment="1580972.170000" sales="0.000000"/>
      <mon3Flow redemption="0.000000" reinvestment="1598966.610000" sales="0.000000"/>
    </fundInfo>
    <invstOrSecs>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBBMHB8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>82240.500000</valUSD>
        <pctVal>0.0053076</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>30092000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>32881025.860000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>82240.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ITKBBQK98"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.915200"/>
        <valUSD>124843.120000</valUSD>
        <pctVal>0.0080571</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>31386000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>34419080.270000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>124843.120000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARDAGH PACKAGING FINANCE PLC / ARDAGH MP HOLDINGS USA INC</name>
        <lei>N/A</lei>
        <title>ARDAGH PKG FIN/HLDGS USA SR SECURED 144A 08/26 4.125</title>
        <cusip>03969AAN0</cusip>
        <identifiers>
          <isin value="US03969AAN00"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201750.000000</valUSD>
        <pctVal>0.0130205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBBR6FH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>211747.180000</valUSD>
        <pctVal>0.0136657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Societe Generale</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>6453110.810000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>436560321.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2019-12-16</settlementDt>
            <unrealizedAppr>211747.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARDONAGH MIDCO 3 PLC</name>
        <lei>549300C8F38DVT8CAO43</lei>
        <title>ARDONAGH MIDCO THREE PLC SR SECURED 144A 07/23 8.375</title>
        <cusip>ACI0VMSV4</cusip>
        <identifiers>
          <isin value="XS1623760557"/>
        </identifiers>
        <balance>4110000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>4862640.410000</valUSD>
        <pctVal>0.3138244</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARDONAGH MIDCO 3 PLC</name>
        <lei>549300C8F38DVT8CAO43</lei>
        <title>ARDONAGH MIDCO THREE PLC SR SECURED 144A 07/23 8.625</title>
        <cusip>039854AB0</cusip>
        <identifiers>
          <isin value="US039854AB02"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>384000.000000</valUSD>
        <pctVal>0.0247825</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARDONAGH MIDCO 3 PLC</name>
        <lei>549300C8F38DVT8CAO43</lei>
        <title>ARDONAGH MIDCO THREE PLC SR SECURED REGS 07/23 8.375</title>
        <cusip>ACI0VMP62</cusip>
        <identifiers>
          <isin value="XS1623760128"/>
        </identifiers>
        <balance>28300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>33482414.490000</valUSD>
        <pctVal>2.1608835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HUKBBSWM2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1121507.410000</valUSD>
        <pctVal>0.0723797</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>56617000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>62831225.300000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>1121507.410000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBV35X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7789.540000</valUSD>
        <pctVal>0.0005027</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>1967486.300000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>8142442.050000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-7789.540000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19GAKBB5J32"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-241111.820000</valUSD>
        <pctVal>0.0155608</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>13003395.840000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>829268163.880000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2019-10-17</settlementDt>
            <unrealizedAppr>-241111.820000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBV36Q"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.164600"/>
        <valUSD>8558.390000</valUSD>
        <pctVal>0.0005523</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Standard Chartered Bank</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>8142442.050000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>1963737.710000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>8558.390000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>ARGENT LETRAS DEL TESORO BILLS 02/20 0.00000</title>
        <cusip>ACI1C93Q0</cusip>
        <identifiers>
          <isin value="ARARGE5207N9"/>
        </identifiers>
        <balance>26830000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>283824.840000</valUSD>
        <pctVal>0.0183174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>ARGENT LETRAS DEL TESORO BILLS 04/20 0.00000</title>
        <cusip>ACI15S998</cusip>
        <identifiers>
          <isin value="ARARGE5206F7"/>
        </identifiers>
        <balance>90219000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>1188586.600000</valUSD>
        <pctVal>0.0767088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR -0.15000 03/18/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7FGKCPBK01"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>75140.910000</valUSD>
        <pctVal>0.0048494</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00W8P4-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.150000"/>
            <terminationDt>2030-03-18</terminationDt>
            <upfrontPmnt>373344.300000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>20400000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-298203.390000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.25000 03/18/20-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ3SVN2CYGC9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-16827.200000</valUSD>
        <pctVal>0.0010860</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00W8Q2-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.250000"/>
            <terminationDt>2050-03-18</terminationDt>
            <upfrontPmnt>138837.840000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>2500000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-155665.040000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.50000 12/18/19-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ60X3JSJFC9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-85654.140000</valUSD>
        <pctVal>0.0055279</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00UDV9-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <terminationDt>2029-12-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-23797.430000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-61856.710000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>ARGENT LETRAS DEL TESORO BILLS 08/20 0.00000</title>
        <cusip>ACI1DBMZ3</cusip>
        <identifiers>
          <isin value="ARARGE5207U4"/>
        </identifiers>
        <balance>8844000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>63532.680000</valUSD>
        <pctVal>0.0041003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.75000 03/18/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ2R7447YB98"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1209318.840000</valUSD>
        <pctVal>0.0780469</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.750000"/>
            <terminationDt>2030-03-18</terminationDt>
            <upfrontPmnt>934726.670000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>89870000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-2144045.510000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.75000 03/18/20-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ3CFBD6MXF5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-258944.410000</valUSD>
        <pctVal>0.0167117</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.750000"/>
            <terminationDt>2050-03-18</terminationDt>
            <upfrontPmnt>319533.780000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>14800000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-578478.190000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 04/22 VAR</title>
        <cusip>ACI0TFSY6</cusip>
        <identifiers>
          <isin value="ARARGE3203R1"/>
        </identifiers>
        <balance>147204000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>1409609.230000</valUSD>
        <pctVal>0.0909732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>55.4688</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BONDS 06/20 VAR</title>
        <cusip>ACI0VSDQ8</cusip>
        <identifiers>
          <isin value="ARARGE3204M0"/>
        </identifiers>
        <balance>235766104.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>1844412.910000</valUSD>
        <pctVal>0.1190345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>67.4197</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.75000 12/21/16-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ91QR837HN3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6010689.780000</valUSD>
        <pctVal>0.3879171</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2026-12-21</terminationDt>
            <upfrontPmnt>7432549.780000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>303000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1421860.000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 01/23 3.375</title>
        <cusip>ACI0YQ3V9</cusip>
        <identifiers>
          <isin value="XS1715303340"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>168365.500000</valUSD>
        <pctVal>0.0108659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.25000 03/12/20-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZB1JDY3VVP8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5410923.000000</valUSD>
        <pctVal>0.3492094</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.250000"/>
            <terminationDt>2050-03-14</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-126154.910000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>42000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-5284768.090000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 01/28 5.25</title>
        <cusip>ACI0YQ3F4</cusip>
        <identifiers>
          <isin value="XS1715303779"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>127317.210000</valUSD>
        <pctVal>0.0082168</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.25000 12/11/19-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ874HF7Y1M8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6968900.500000</valUSD>
        <pctVal>0.4497579</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.250000"/>
            <terminationDt>2049-12-13</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-88867.990000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>54200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-6880032.510000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.50000 06/15/16-20Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00FLW1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2559174.030000</valUSD>
        <pctVal>0.1651636</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.500000"/>
            <terminationDt>2036-06-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1952010.990000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>19800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-607163.040000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.50000 06/20/18-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7BS846F7C7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-584477.560000</valUSD>
        <pctVal>0.0377209</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.500000"/>
            <terminationDt>2048-06-22</terminationDt>
            <upfrontPmnt>287446.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-871923.560000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.50000 12/20/17-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7XX80W4WW5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>7374756.360000</valUSD>
        <pctVal>0.4759510</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2027-12-20</terminationDt>
            <upfrontPmnt>1071466.780000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>91250000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>6303289.580000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.75000 03/20/13-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU002QE5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7023834.000000</valUSD>
        <pctVal>0.4533032</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.750000"/>
            <terminationDt>2043-03-20</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-113669.100000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>34100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-6910164.900000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.75000 12/16/15-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00D7P7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-462566.660000</valUSD>
        <pctVal>0.0298531</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.750000"/>
            <terminationDt>2045-12-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-32121.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-430445.660000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.75000 12/16/15-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00D868"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-419196.120000</valUSD>
        <pctVal>0.0270540</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.750000"/>
            <terminationDt>2045-12-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-19624.130000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-399571.990000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 3.00000 06/19/19-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZVS57HRRGY8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>28987328.410000</valUSD>
        <pctVal>1.8707802</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2029-06-19</terminationDt>
            <upfrontPmnt>10144230.410000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>210500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>18843098.000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 11/47 6.25</title>
        <cusip>ACI0YQ3P2</cusip>
        <identifiers>
          <isin value="XS1715535123"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>44016.450000</valUSD>
        <pctVal>0.0028407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 12/33 7.82</title>
        <cusip>989HBRII9</cusip>
        <identifiers>
          <isin value="XS0501195134"/>
        </identifiers>
        <balance>404574.490000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>209408.630000</valUSD>
        <pctVal>0.0135148</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.82</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 12/33 7.82</title>
        <cusip>B06GDDII7</cusip>
        <identifiers>
          <isin value="XS0205545840"/>
        </identifiers>
        <balance>17344823.870000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>9160983.210000</valUSD>
        <pctVal>0.5912303</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-31</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.82</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBB9SHH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>333725.450000</valUSD>
        <pctVal>0.0215379</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>15702059.360000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>13042000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>333725.450000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED 12/38 VAR</title>
        <cusip>B0R174II4</cusip>
        <identifiers>
          <isin value="XS0205537581"/>
        </identifiers>
        <balance>13491000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>5707162.380000</valUSD>
        <pctVal>0.3683281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-31</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.38</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA SR UNSECURED REGS 01/22 3.875</title>
        <cusip>ACI0Q7WW6</cusip>
        <identifiers>
          <isin value="XS1503160225"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1300053.520000</valUSD>
        <pctVal>0.0839027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA UNSECURED 03/20 VAR</title>
        <cusip>BYQ696II3</cusip>
        <identifiers>
          <isin value="ARARGE3201B9"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>21017.930000</valUSD>
        <pctVal>0.0013565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>54.21</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA UNSECURED 10/22 VAR</title>
        <cusip>P0761DAQ6</cusip>
        <identifiers>
          <isin value="ARARGE03G621"/>
        </identifiers>
        <balance>138000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>2289.620000</valUSD>
        <pctVal>0.0001478</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>51.6031</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2004-FF1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1</title>
        <cusip>04542BHM7</cusip>
        <identifiers>
          <isin value="US04542BHM72"/>
        </identifiers>
        <balance>988724.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>929548.390000</valUSD>
        <pctVal>0.0599911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.06838</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>ASSOCIATED MATERIALS LLC / AMH NEW FINANCE INC</name>
        <lei>N/A</lei>
        <title>ASSOC MAT LLC/AMH NEW FI SR SECURED 144A 01/24 9</title>
        <cusip>04570XAB5</cusip>
        <identifiers>
          <isin value="US04570XAB55"/>
        </identifiers>
        <balance>16400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14473000.000000</valUSD>
        <pctVal>0.9340565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ATHENE HOLDING LTD</name>
        <lei>549300H316CT32FQXI76</lei>
        <title>ATHENE HOLDING LTD SR UNSECURED 01/28 4.125</title>
        <cusip>04686JAA9</cusip>
        <identifiers>
          <isin value="US04686JAA97"/>
        </identifiers>
        <balance>58000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59697.520000</valUSD>
        <pctVal>0.0038528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)</name>
        <lei>95980020140005848404</lei>
        <title>GENERALITAT DE CATALUNYA SR UNSECURED 02/20 4.95</title>
        <cusip>959FFKII0</cusip>
        <identifiers>
          <isin value="ES00000950E9"/>
        </identifiers>
        <balance>50000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>55449.420000</valUSD>
        <pctVal>0.0035786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)</name>
        <lei>95980020140005848404</lei>
        <title>GENERALITAT DE CATALUNYA SR UNSECURED 09/21 4.9</title>
        <cusip>B5BMDRII6</cusip>
        <identifiers>
          <isin value="XS0449850980"/>
        </identifiers>
        <balance>50000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>59290.740000</valUSD>
        <pctVal>0.0038265</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVANTOR FUNDING INC</name>
        <lei>N/A</lei>
        <title>AVANTOR INC TERM LOAN</title>
        <cusip>05350NAC8</cusip>
        <identifiers>
          <isin value="US05350NAC83"/>
        </identifiers>
        <balance>60764.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61257.800000</valUSD>
        <pctVal>0.0039534</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.0435</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5</title>
        <cusip>70014LAC4</cusip>
        <identifiers>
          <isin value="US70014LAC46"/>
        </identifiers>
        <balance>342000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>354756.600000</valUSD>
        <pctVal>0.0228952</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVON INTERNATIONAL CAPITAL PLC</name>
        <lei>N/A</lei>
        <title>AVON INTERNATIONAL CAPIT SR SECURED 144A 08/22 6.5</title>
        <cusip>05409AAA1</cusip>
        <identifiers>
          <isin value="US05409AAA16"/>
        </identifiers>
        <balance>90000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93487.500000</valUSD>
        <pctVal>0.0060335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AXA EQUITABLE HOLDINGS INC</name>
        <lei>549300FIBAKMNHPZ4009</lei>
        <title>AXA EQUITABLE HOLDINGS I SR UNSECURED 04/28 4.35</title>
        <cusip>054561AJ4</cusip>
        <identifiers>
          <isin value="US054561AJ49"/>
        </identifiers>
        <balance>91000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97010.140000</valUSD>
        <pctVal>0.0062608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AXA EQUITABLE HOLDINGS INC</name>
        <lei>549300FIBAKMNHPZ4009</lei>
        <title>AXA EQUITABLE HOLDINGS I SR UNSECURED 04/48 5</title>
        <cusip>054561AM7</cusip>
        <identifiers>
          <isin value="US054561AM77"/>
        </identifiers>
        <balance>153000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165279.900000</valUSD>
        <pctVal>0.0106668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAFFINLAND IRON MINES CORP / BAFFINLAND IRON MINES LP</name>
        <lei>N/A</lei>
        <title>BAFFINLAND IRON CORP/LP SR SECURED 144A 07/26 8.75</title>
        <cusip>056623AA9</cusip>
        <identifiers>
          <isin value="US056623AA98"/>
        </identifiers>
        <balance>3600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3704580.000000</valUSD>
        <pctVal>0.2390857</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA ALT LOAN TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17</title>
        <cusip>05950BAS3</cusip>
        <identifiers>
          <isin value="US05950BAS34"/>
        </identifiers>
        <balance>92624.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92386.470000</valUSD>
        <pctVal>0.0059624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA ALT LOAN TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1</title>
        <cusip>059475AF0</cusip>
        <identifiers>
          <isin value="US059475AF05"/>
        </identifiers>
        <balance>221177.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219721.110000</valUSD>
        <pctVal>0.0141803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2004-D</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2</title>
        <cusip>05946XNF6</cusip>
        <identifiers>
          <isin value="US05946XNF68"/>
        </identifiers>
        <balance>293229.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>294363.250000</valUSD>
        <pctVal>0.0189976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.48116</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2005-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1</title>
        <cusip>05946XRH8</cusip>
        <identifiers>
          <isin value="US05946XRH88"/>
        </identifiers>
        <balance>4612000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4630496.430000</valUSD>
        <pctVal>0.2988423</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-B</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1</title>
        <cusip>058928AD4</cusip>
        <identifiers>
          <isin value="US058928AD44"/>
        </identifiers>
        <balance>1133491.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1094976.360000</valUSD>
        <pctVal>0.0706674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.17845</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-J</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3</title>
        <cusip>05951EAE7</cusip>
        <identifiers>
          <isin value="US05951EAE77"/>
        </identifiers>
        <balance>174653.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>170141.640000</valUSD>
        <pctVal>0.0109806</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.20069</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2007-B</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1</title>
        <cusip>05952EAA4</cusip>
        <identifiers>
          <isin value="US05952EAA47"/>
        </identifiers>
        <balance>9884230.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9104002.730000</valUSD>
        <pctVal>0.5875529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.25425</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2007-R1</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A</title>
        <cusip>05953BAB7</cusip>
        <identifiers>
          <isin value="US05953BAB71"/>
        </identifiers>
        <balance>4427526.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4146636.130000</valUSD>
        <pctVal>0.2676150</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35564</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2009-R6</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A</title>
        <cusip>05955DAE5</cusip>
        <identifiers>
          <isin value="US05955DAE58"/>
        </identifiers>
        <balance>5745318.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5780214.100000</valUSD>
        <pctVal>0.3730427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2009-R6</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A</title>
        <cusip>05955DAJ4</cusip>
        <identifiers>
          <isin value="US05955DAJ46"/>
        </identifiers>
        <balance>11725407.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5962817.550000</valUSD>
        <pctVal>0.3848275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.1188</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCAJA FONDO DE TITULIZACION 8</name>
        <lei>N/A</lei>
        <title>BANCAJA FONDO DE TITULIZACION BCJAF 8 A REGS</title>
        <cusip>B07XD3II1</cusip>
        <identifiers>
          <isin value="ES0312887005"/>
        </identifiers>
        <balance>1601684.640000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1742228.360000</valUSD>
        <pctVal>0.1124397</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
        <lei>K8MS7FD7N5Z2WQ51AZ71</lei>
        <title>BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>BVG7GWII3</cusip>
        <identifiers>
          <isin value="XS1190663952"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>222358.590000</valUSD>
        <pctVal>0.0143505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Banco Bilbao Vizcaya Argentaria, S.A.</name>
              <title>Banco Bilbao Vizcaya Argentaria, S.A.</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO DE CREDITO DEL PERU</name>
        <lei>549300EQYQ8SCQZ4BY14</lei>
        <title>BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65</title>
        <cusip>05971U2B2</cusip>
        <identifiers>
          <isin value="US05971U2B27"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>594531.640000</valUSD>
        <pctVal>0.0383698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SECS-2005-L</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1</title>
        <cusip>05949CPM2</cusip>
        <identifiers>
          <isin value="US05949CPM28"/>
        </identifiers>
        <balance>536982.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>522959.790000</valUSD>
        <pctVal>0.0337507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.64618</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SECS-2006-B</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1</title>
        <cusip>05950TAA3</cusip>
        <identifiers>
          <isin value="US05950TAA34"/>
        </identifiers>
        <balance>176086.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>119472.990000</valUSD>
        <pctVal>0.0077105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.74674</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF IRELAND (AKA: GOVERNOR &amp; CO OF THE BANK OF IRELAND)</name>
        <lei>Q2GQA2KF6XJ24W42G291</lei>
        <title>GOVERNOR + CO OF THE BAN JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0CWJH4</cusip>
        <identifiers>
          <isin value="XS1248345461"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1361641.810000</valUSD>
        <pctVal>0.0878775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>BARCLAYS BANK PLC SUBORDINATED 11/22 7.625</title>
        <cusip>06740L8C2</cusip>
        <identifiers>
          <isin value="US06740L8C27"/>
        </identifiers>
        <balance>10100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11142471.500000</valUSD>
        <pctVal>0.7191113</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>ACI07CRC6</cusip>
        <identifiers>
          <isin value="XS1002801758"/>
        </identifiers>
        <balance>2800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>3269367.050000</valUSD>
        <pctVal>0.2109980</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="502.513" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>06738EBG9</cusip>
        <identifiers>
          <isin value="US06738EBG98"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1489901.000000</valUSD>
        <pctVal>0.0961550</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="460.829" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0G5LH6</cusip>
        <identifiers>
          <isin value="XS1274156097"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1834475.340000</valUSD>
        <pctVal>0.1183931</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0SSSH6</cusip>
        <identifiers>
          <isin value="XS1571333811"/>
        </identifiers>
        <balance>3200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>4148500.070000</valUSD>
        <pctVal>0.2677353</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS VAR</title>
        <cusip>931ZUKII2</cusip>
        <identifiers>
          <isin value="XS1658012023"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>478983.310000</valUSD>
        <pctVal>0.0309126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA VAR</title>
        <cusip>ACI1CH093</cusip>
        <identifiers>
          <isin value="XS1998799792"/>
        </identifiers>
        <balance>4600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>6004429.080000</valUSD>
        <pctVal>0.3875130</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 01/33 3.25</title>
        <cusip>ACI0ZVTR8</cusip>
        <identifiers>
          <isin value="XS1748699011"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>498888.790000</valUSD>
        <pctVal>0.0321972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
        <lei>N/A</lei>
        <title>CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK</title>
        <cusip>18453H106</cusip>
        <identifiers>
          <isin value="US18453H1068"/>
        </identifiers>
        <balance>1495047.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>3767518.440000</valUSD>
        <pctVal>0.2431476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAYVIEW COMMERCIAL ASSET TRUST 2004-2</name>
        <lei>N/A</lei>
        <title>BAYVIEW COMMERCIAL ASSET TRUST BAYC 2004 2 A 144A</title>
        <cusip>07324SAR3</cusip>
        <identifiers>
          <isin value="US07324SAR31"/>
        </identifiers>
        <balance>96299.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95321.530000</valUSD>
        <pctVal>0.0061518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.44838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2009-RR10</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2009 RR10 11A2 144A</title>
        <cusip>05532EAW5</cusip>
        <identifiers>
          <isin value="US05532EAW57"/>
        </identifiers>
        <balance>3899125.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3803706.820000</valUSD>
        <pctVal>0.2454831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.60621</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2009-RR11</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2009 RR11 7A2 144A</title>
        <cusip>05532FAR3</cusip>
        <identifiers>
          <isin value="US05532FAR38"/>
        </identifiers>
        <balance>5370841.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4190037.640000</valUSD>
        <pctVal>0.2704161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.02993</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2009-RR14</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2009 RR14 11A2 144A</title>
        <cusip>05532LBX6</cusip>
        <identifiers>
          <isin value="US05532LBX64"/>
        </identifiers>
        <balance>10595143.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9216159.840000</valUSD>
        <pctVal>0.5947913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.71377</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2009-RR14</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2009 RR14 9A3 144A</title>
        <cusip>05532LBF5</cusip>
        <identifiers>
          <isin value="US05532LBF58"/>
        </identifiers>
        <balance>1186352.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1189783.370000</valUSD>
        <pctVal>0.0767861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.4119</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR2</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR2 7A4 144A</title>
        <cusip>05532VBR7</cusip>
        <identifiers>
          <isin value="US05532VBR78"/>
        </identifiers>
        <balance>4279121.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3922787.220000</valUSD>
        <pctVal>0.2531683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.77265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR3</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR3 14A6 144A</title>
        <cusip>05532WGU3</cusip>
        <identifiers>
          <isin value="US05532WGU36"/>
        </identifiers>
        <balance>2859062.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2535423.190000</valUSD>
        <pctVal>0.1636308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR3</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR3 7A6 144A</title>
        <cusip>05532WDF9</cusip>
        <identifiers>
          <isin value="US05532WDF95"/>
        </identifiers>
        <balance>5183406.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5020366.930000</valUSD>
        <pctVal>0.3240038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.16113</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR4</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR4 6A12 144A</title>
        <cusip>05532XAL7</cusip>
        <identifiers>
          <isin value="US05532XAL73"/>
        </identifiers>
        <balance>5381668.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4495158.260000</valUSD>
        <pctVal>0.2901079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR6</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR6 11A7 144A</title>
        <cusip>05533CFW3</cusip>
        <identifiers>
          <isin value="US05533CFW38"/>
        </identifiers>
        <balance>4143543.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4076346.260000</valUSD>
        <pctVal>0.2630787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.15452</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2010-RR7</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR7 2A13 144A</title>
        <cusip>05533DAW6</cusip>
        <identifiers>
          <isin value="US05533DAW65"/>
        </identifiers>
        <balance>7017953.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6666348.640000</valUSD>
        <pctVal>0.4302319</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.31303</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2007-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1</title>
        <cusip>07401CAV5</cusip>
        <identifiers>
          <isin value="US07401CAV54"/>
        </identifiers>
        <balance>2935551.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2831749.920000</valUSD>
        <pctVal>0.1827551</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.02025</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1</title>
        <cusip>07386HVX6</cusip>
        <identifiers>
          <isin value="US07386HVX69"/>
        </identifiers>
        <balance>7997847.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5501674.780000</valUSD>
        <pctVal>0.3550663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.11344</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1</title>
        <cusip>07386HYH8</cusip>
        <identifiers>
          <isin value="US07386HYH82"/>
        </identifiers>
        <balance>14973563.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11973593.760000</valUSD>
        <pctVal>0.7727502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.92453</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2006-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2</title>
        <cusip>07387QAY6</cusip>
        <identifiers>
          <isin value="US07387QAY61"/>
        </identifiers>
        <balance>4842338.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4511929.060000</valUSD>
        <pctVal>0.2911903</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD2 M1</title>
        <cusip>07388EAB2</cusip>
        <identifiers>
          <isin value="US07388EAB20"/>
        </identifiers>
        <balance>8846000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8833158.260000</valUSD>
        <pctVal>0.5700732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1</title>
        <cusip>07389QAN8</cusip>
        <identifiers>
          <isin value="US07389QAN88"/>
        </identifiers>
        <balance>3739444.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2563289.670000</valUSD>
        <pctVal>0.1654292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.47733</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>BEAZER HOMES USA INC</name>
        <lei>549300DUPYT2T0F60I45</lei>
        <title>BEAZER HOMES USA SR UNSECURED 144A 10/29 7.25</title>
        <cusip>07556QBS3</cusip>
        <identifiers>
          <isin value="US07556QBS30"/>
        </identifiers>
        <balance>32000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32600.000000</valUSD>
        <pctVal>0.0021039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BIOCEANICO SOVEREIGN CERTIFICATE LTD</name>
        <lei>N/A</lei>
        <title>BIOCEANICO SOVEREIGN SR SECURED 144A 06/34 0.00000</title>
        <cusip>09076AAA5</cusip>
        <identifiers>
          <isin value="US09076AAA51"/>
        </identifiers>
        <balance>250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>174687.500000</valUSD>
        <pctVal>0.0112740</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-05</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOMBARDIER INC</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SR UNSECURED 144A 01/23 6.125</title>
        <cusip>097751BF7</cusip>
        <identifiers>
          <isin value="US097751BF74"/>
        </identifiers>
        <balance>1820000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1858220.000000</valUSD>
        <pctVal>0.1199255</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOMBARDIER INC</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SR UNSECURED 144A 03/25 7.5</title>
        <cusip>097751BM2</cusip>
        <identifiers>
          <isin value="US097751BM26"/>
        </identifiers>
        <balance>1899000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1903747.500000</valUSD>
        <pctVal>0.1228638</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOMBARDIER INC</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SR UNSECURED 144A 04/27 7.875</title>
        <cusip>097751BT7</cusip>
        <identifiers>
          <isin value="US097751BT78"/>
        </identifiers>
        <balance>3692000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3685908.200000</valUSD>
        <pctVal>0.2378806</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOMBARDIER INC</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SR UNSECURED 144A 12/24 7.5</title>
        <cusip>097751BR1</cusip>
        <identifiers>
          <isin value="US097751BR13"/>
        </identifiers>
        <balance>3926000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3949556.000000</valUSD>
        <pctVal>0.2548959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRAD 2014-1 RESECURITIZATION TRUST</name>
        <lei>N/A</lei>
        <title>BRAD 2014 1 RESECURITIZATION 03/21 VAR</title>
        <cusip>926BRAII8</cusip>
        <identifiers>
          <ticker value="BRAD"/>
        </identifiers>
        <balance>19140717.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>479464.260000</valUSD>
        <pctVal>0.0309436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19049</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRAD 2014-1 RESECURITIZATION TRUST</name>
        <lei>N/A</lei>
        <title>BRAD 2014 1 RESECURITIZATION 03/21 VAR</title>
        <cusip>926BRBII6</cusip>
        <identifiers>
          <ticker value="BRAD"/>
        </identifiers>
        <balance>3578485.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3572541.140000</valUSD>
        <pctVal>0.2305642</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.55</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BROOKFIELD FINANCE INC</name>
        <lei>N/A</lei>
        <title>BROOKFIELD FINANCE INC COMPANY GUAR 01/28 3.9</title>
        <cusip>11271LAC6</cusip>
        <identifiers>
          <isin value="US11271LAC63"/>
        </identifiers>
        <balance>182000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191237.960000</valUSD>
        <pctVal>0.0123421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BROOKFIELD FINANCE INC</name>
        <lei>N/A</lei>
        <title>BROOKFIELD FINANCE INC COMPANY GUAR 09/47 4.7</title>
        <cusip>11271LAB8</cusip>
        <identifiers>
          <isin value="US11271LAB80"/>
        </identifiers>
        <balance>168000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>184543.110000</valUSD>
        <pctVal>0.0119100</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BUFFALO THUNDER DEVELOPMENT AUTHORITY</name>
        <lei>54930030AKDVPHKOL630</lei>
        <title>BUFFALO THUNDER DEV AUTH 11/29 0</title>
        <cusip>119818AD4</cusip>
        <identifiers>
          <isin value="US119818AD47"/>
        </identifiers>
        <balance>2482664.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2024.410000</valUSD>
        <pctVal>0.0001307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BUFFALO THUNDER DEVELOPMENT AUTHORITY</name>
        <lei>54930030AKDVPHKOL630</lei>
        <title>BUFFALO THUNDER DEV AUTH 12/22 FIXED 11</title>
        <cusip>119818AC6</cusip>
        <identifiers>
          <isin value="US119818AC63"/>
        </identifiers>
        <balance>5598360.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2855163.600000</valUSD>
        <pctVal>0.1842662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>11</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BURGER KING/TIM HORT (1011778 BC UNLIMITED LIABILITY CO/NEW RED FINANCE INC)</name>
        <lei>N/A</lei>
        <title>1011778 BC / NEW RED FIN SR SECURED 144A 01/28 3.875</title>
        <cusip>68245XAH2</cusip>
        <identifiers>
          <isin value="US68245XAH26"/>
        </identifiers>
        <balance>220000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221949.200000</valUSD>
        <pctVal>0.0143241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>C-BASS CBO XVI CORP 16A</name>
        <lei>N/A</lei>
        <title>C BASS LTD CBCL 16A A 144A</title>
        <cusip>12498YAA7</cusip>
        <identifiers>
          <isin value="US12498YAA73"/>
        </identifiers>
        <balance>27723110.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2661418.580000</valUSD>
        <pctVal>0.1717623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36238</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CABLEVISION (CSC HOLDINGS LLC)</name>
        <lei>3HG2WD2W22M120IUNG49</lei>
        <title>CSC HOLDINGS LLC COMPANY GUAR 144A 02/29 6.5</title>
        <cusip>126307AZ0</cusip>
        <identifiers>
          <isin value="US126307AZ02"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>334005.000000</valUSD>
        <pctVal>0.0215560</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAESARS ENTERTAINMENT CORPORATION</name>
        <lei>529900CJT4VQO26ONP04</lei>
        <title>CAESARS ENTERTAIN CORP SR UNSECURED 10/24 5</title>
        <cusip>127686AA1</cusip>
        <identifiers>
          <isin value="US127686AA18"/>
        </identifiers>
        <balance>4394363.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7473901.170000</valUSD>
        <pctVal>0.4823496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>Y</isMandatoryConvrtbl>
          <isContngtConvrtbl>N</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Caesars Entertainment Corporation</name>
              <title>Caesars Entertainment Corporation</title>
              <curCd>USD</curCd>
              <identifiers>
                <isin value="US1276861036"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0.139" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)</name>
        <lei>N/A</lei>
        <title>DESARROLLADORA HOMEX SAB DE COMMON STOCK</title>
        <cusip>B01RQ2907</cusip>
        <identifiers>
          <isin value="MX01HO000007"/>
        </identifiers>
        <balance>719113.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="MXN" exchangeRt="19.734000"/>
        <valUSD>2878.780000</valUSD>
        <pctVal>0.0001858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
        <lei>549300VS75TWHD9JTH89</lei>
        <title>CBL + ASSOCIATES LP COMPANY GUAR 12/26 5.95</title>
        <cusip>12505JAD5</cusip>
        <identifiers>
          <isin value="US12505JAD54"/>
        </identifiers>
        <balance>1551000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1097332.500000</valUSD>
        <pctVal>0.0708195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
        <lei>549300VS75TWHD9JTH89</lei>
        <title>CBL + ASSOCIATES LP LIMITD GUARA 10/24 4.6</title>
        <cusip>12505JAB9</cusip>
        <identifiers>
          <isin value="US12505JAB98"/>
        </identifiers>
        <balance>6000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3990.000000</valUSD>
        <pctVal>0.0002575</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
        <lei>549300VS75TWHD9JTH89</lei>
        <title>CBL + ASSOCIATES LP LIMITD GUARA 12/23 5.25</title>
        <cusip>12505JAA1</cusip>
        <identifiers>
          <isin value="US12505JAA16"/>
        </identifiers>
        <balance>313000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218974.800000</valUSD>
        <pctVal>0.0141322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTURYLINK INC</name>
        <lei>8M3THTGWLTYZVE6BBY25</lei>
        <title>CENTURYLINK ESCROW LLC TERM LOAN B</title>
        <cusip>15670BAB8</cusip>
        <identifiers>
          <isin value="US15670BAB80"/>
        </identifiers>
        <balance>345478.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>343571.280000</valUSD>
        <pctVal>0.0221734</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORGAGE FINANCE CORP 2005-A2</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1</title>
        <cusip>16162WQH5</cusip>
        <identifiers>
          <isin value="US16162WQH50"/>
        </identifiers>
        <balance>7926981.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7376287.360000</valUSD>
        <pctVal>0.4760498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.99932</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORTGAGE FINANCE CORP 2007-A1</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3</title>
        <cusip>161630BZ0</cusip>
        <identifiers>
          <isin value="US161630BZ06"/>
        </identifiers>
        <balance>2107402.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2097742.720000</valUSD>
        <pctVal>0.1353838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.02682</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>DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA)</name>
        <lei>254900VV84SMDXCU2986</lei>
        <title>DOMMO ENERGIA SA COMMON STOCK</title>
        <cusip>BYXHG7900</cusip>
        <identifiers>
          <isin value="BRDMMOACNOR0"/>
        </identifiers>
        <balance>1240060.920000</balance>
        <units>NS</units>
        <currencyConditional curCd="BRL" exchangeRt="4.155000"/>
        <valUSD>1306318.280000</valUSD>
        <pctVal>0.0843070</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DOMMO ENERGIA SA (AKA: OGX PETROLEO E GAS SA)</name>
        <lei>254900VV84SMDXCU2986</lei>
        <title>DOMMO ENERGIA SA SP ADR</title>
        <cusip>257553206</cusip>
        <identifiers>
          <isin value="US2575532062"/>
        </identifiers>
        <balance>2627.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>35191.480000</valUSD>
        <pctVal>0.0022712</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHENIERE ENERGY PARTNERS LP</name>
        <lei>5493005UEC8AZ34LDV29</lei>
        <title>CHENIERE ENERGY PARTNERS SR UNSECURED 144A 10/29 4.5</title>
        <cusip>16411QAE1</cusip>
        <identifiers>
          <isin value="US16411QAE17"/>
        </identifiers>
        <balance>126000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129386.250000</valUSD>
        <pctVal>0.0083503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1</title>
        <cusip>126694U97</cusip>
        <identifiers>
          <isin value="US126694U970"/>
        </identifiers>
        <balance>7304029.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5017946.420000</valUSD>
        <pctVal>0.3238475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.88838</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>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
        <lei>5493007X5NC5XI1BB106</lei>
        <title>CHS/COMMUNITY HEALTH SYS SR SECURED 03/23 6.25</title>
        <cusip>12543DAY6</cusip>
        <identifiers>
          <isin value="US12543DAY67"/>
        </identifiers>
        <balance>23716000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23647223.600000</valUSD>
        <pctVal>1.5261413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
        <lei>5493007X5NC5XI1BB106</lei>
        <title>CHS/COMMUNITY HEALTH SYS SR SECURED 144A 01/24 8.625</title>
        <cusip>12543DBB5</cusip>
        <identifiers>
          <isin value="US12543DBB55"/>
        </identifiers>
        <balance>2604000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2695140.000000</valUSD>
        <pctVal>0.1739386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
        <lei>5493007X5NC5XI1BB106</lei>
        <title>CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8</title>
        <cusip>12543DBC3</cusip>
        <identifiers>
          <isin value="US12543DBC39"/>
        </identifiers>
        <balance>1328000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1328000.000000</valUSD>
        <pctVal>0.0857063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MTGE TRUST 2007-C6</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ</title>
        <cusip>17311QBN9</cusip>
        <identifiers>
          <isin value="US17311QBN97"/>
        </identifiers>
        <balance>404970.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>265077.300000</valUSD>
        <pctVal>0.0171075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.77607</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2006-WF1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D</title>
        <cusip>17307G4J4</cusip>
        <identifiers>
          <isin value="US17307G4J45"/>
        </identifiers>
        <balance>1965074.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1314068.820000</valUSD>
        <pctVal>0.0848072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.923</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2006-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C</title>
        <cusip>17309BAB3</cusip>
        <identifiers>
          <isin value="US17309BAB36"/>
        </identifiers>
        <balance>477518.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>268372.880000</valUSD>
        <pctVal>0.0173202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.852</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2015-9</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A</title>
        <cusip>17324MAD6</cusip>
        <identifiers>
          <isin value="US17324MAD65"/>
        </identifiers>
        <balance>8784095.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8324578.820000</valUSD>
        <pctVal>0.5372505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.19661</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A</title>
        <cusip>17312EAA4</cusip>
        <identifiers>
          <isin value="US17312EAA47"/>
        </identifiers>
        <balance>20758598.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19202087.910000</valUSD>
        <pctVal>1.2392617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2006-AR1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1</title>
        <cusip>17307G3C0</cusip>
        <identifiers>
          <isin value="US17307G3C01"/>
        </identifiers>
        <balance>281976.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>285890.130000</valUSD>
        <pctVal>0.0184507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.98</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-10</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA</title>
        <cusip>17313QAL2</cusip>
        <identifiers>
          <isin value="US17313QAL23"/>
        </identifiers>
        <balance>5260625.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5146747.920000</valUSD>
        <pctVal>0.3321601</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.21771</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A</title>
        <cusip>17311BAS2</cusip>
        <identifiers>
          <isin value="US17311BAS25"/>
        </identifiers>
        <balance>16674141.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11587206.140000</valUSD>
        <pctVal>0.7478135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.17838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C</title>
        <cusip>17311BAC7</cusip>
        <identifiers>
          <isin value="US17311BAC72"/>
        </identifiers>
        <balance>9647893.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4971427.150000</valUSD>
        <pctVal>0.3208453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.23838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-SHL1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A</title>
        <cusip>17312WAB2</cusip>
        <identifiers>
          <isin value="US17312WAB28"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1693821.360000</valUSD>
        <pctVal>0.1093156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.71838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-8</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A</title>
        <cusip>17307GE61</cusip>
        <identifiers>
          <isin value="US17307GE611"/>
        </identifiers>
        <balance>2419721.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2461865.060000</valUSD>
        <pctVal>0.1588835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.26888</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3</name>
        <lei>N/A</lei>
        <title>CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ</title>
        <cusip>14986DAJ9</cusip>
        <identifiers>
          <isin value="US14986DAJ90"/>
        </identifiers>
        <balance>8102477.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4191297.220000</valUSD>
        <pctVal>0.2704974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.688</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP/DEUTSCHE BK COMM MTGE 2007-CD4</name>
        <lei>N/A</lei>
        <title>CD COMMERCIAL MORTGAGE TRUST CD 2007 CD4 AJ</title>
        <cusip>12513YAJ9</cusip>
        <identifiers>
          <isin value="US12513YAJ91"/>
        </identifiers>
        <balance>24586.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16335.480000</valUSD>
        <pctVal>0.0010543</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.398</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>CITY OF BUENOS AIRES</name>
        <lei>5299007MC8RF52X0ON96</lei>
        <title>CITY OF BUENOS AIRES UNSECURED 03/24 VAR</title>
        <cusip>BD8QV0II3</cusip>
        <identifiers>
          <isin value="ARCBAS3201F3"/>
        </identifiers>
        <balance>866312000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>8108864.700000</valUSD>
        <pctVal>0.5233288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>56.503</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITY OF CHICAGO</name>
        <lei>T5UYO5SYLC8K73MJQX30</lei>
        <title>CHICAGO IL CHI 01/33 FIXED OID 7.375</title>
        <cusip>167486VV8</cusip>
        <identifiers>
          <isin value="US167486VV81"/>
        </identifiers>
        <balance>87000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103831.020000</valUSD>
        <pctVal>0.0067010</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITY OF CHICAGO</name>
        <lei>T5UYO5SYLC8K73MJQX30</lei>
        <title>CHICAGO IL CHI 01/42 FIXED 7.75</title>
        <cusip>167486D22</cusip>
        <identifiers>
          <isin value="US167486D225"/>
        </identifiers>
        <balance>129000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>148626.060000</valUSD>
        <pctVal>0.0095920</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CLEAR CHANNEL WORLDWIDE HOLDINGS INC</name>
        <lei>N/A</lei>
        <title>CLEAR CHANNEL WORLDWIDE COMPANY GUAR 144A 02/24 9.25</title>
        <cusip>18451QAN8</cusip>
        <identifiers>
          <isin value="US18451QAN88"/>
        </identifiers>
        <balance>8517000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9378579.720000</valUSD>
        <pctVal>0.6052735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENEVA SA</name>
        <lei>549300T1AP7HKCABII19</lei>
        <title>ENEVA SA COMMON STOCK</title>
        <cusip>ACI072474</cusip>
        <identifiers>
          <isin value="BRENEVACNOR8"/>
        </identifiers>
        <balance>10054.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="BRL" exchangeRt="4.155000"/>
        <valUSD>74214.170000</valUSD>
        <pctVal>0.0047896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMMERCIAL MORTGAGE LOAN TRUST 2008-LS1</name>
        <lei>N/A</lei>
        <title>COMMERCIAL MORTGAGE LOAN TRUST CMLT 2008 LS1 AM</title>
        <cusip>20173WAH1</cusip>
        <identifiers>
          <isin value="US20173WAH16"/>
        </identifiers>
        <balance>8185876.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5376238.070000</valUSD>
        <pctVal>0.3469709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.23585</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENEVA SA</name>
        <lei>549300T1AP7HKCABII19</lei>
        <title>EQTY03437 ENEVA SA PLACEHOLDER</title>
        <cusip>935EJZ904</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="EQTY03437"/>
        </identifiers>
        <balance>27648.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="BRL" exchangeRt="4.155000"/>
        <valUSD>204085.290000</valUSD>
        <pctVal>0.0131712</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CONSECO FINANCE SECUR CORP 2002-2</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCE SECURITIZATION CNF 2002 2 M2</title>
        <cusip>20846QJZ2</cusip>
        <identifiers>
          <isin value="US20846QJZ28"/>
        </identifiers>
        <balance>8171116.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7569427.070000</valUSD>
        <pctVal>0.4885146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>9.163</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>CORE &amp; MAIN HOLDINGS LP</name>
        <lei>N/A</lei>
        <title>CORE + MAIN HOLDING LP SR UNSECURED 144A 09/24 8.625</title>
        <cusip>21871MAA1</cusip>
        <identifiers>
          <isin value="US21871MAA18"/>
        </identifiers>
        <balance>103000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104158.750000</valUSD>
        <pctVal>0.0067222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CORK STREET CLO DESIGNATED ACTIVITY CO 1A</name>
        <lei>N/A</lei>
        <title>CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A</title>
        <cusip>ACI0QPJC5</cusip>
        <identifiers>
          <isin value="XS1319592900"/>
        </identifiers>
        <balance>2667264.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>2701891.580000</valUSD>
        <pctVal>0.1743743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CORNERSTONE BUILDING BRANDS</name>
        <lei>549300IW41QEWQ6T0H29</lei>
        <title>PISCES MIDCO INC TERM LOAN B</title>
        <cusip>72431HAB6</cusip>
        <identifiers>
          <isin value="US72431HAB69"/>
        </identifiers>
        <balance>119022.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116691.750000</valUSD>
        <pctVal>0.0075310</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7886</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CORONADO CDO LTD 1A</name>
        <lei>N/A</lei>
        <title>CORONADO CDO LTD CORON 1A B1 144A</title>
        <cusip>21976RAB2</cusip>
        <identifiers>
          <isin value="US21976RAB24"/>
        </identifiers>
        <balance>11395540.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7298843.950000</valUSD>
        <pctVal>0.4710518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.63275</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>CORONADO CDO LTD 1A</name>
        <lei>N/A</lei>
        <title>CORONADO CDO LTD CORON 1A B2 144A</title>
        <cusip>21976RAE6</cusip>
        <identifiers>
          <isin value="US21976RAE62"/>
        </identifiers>
        <balance>1753160.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1373600.970000</valUSD>
        <pctVal>0.0886493</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN TRUST 2006-36T2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5</title>
        <cusip>02146XAW8</cusip>
        <identifiers>
          <isin value="US02146XAW83"/>
        </identifiers>
        <balance>184447.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>126115.120000</valUSD>
        <pctVal>0.0081392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN TRUST 2006-41CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4</title>
        <cusip>02149CAD3</cusip>
        <identifiers>
          <isin value="US02149CAD39"/>
        </identifiers>
        <balance>7208791.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6301914.010000</valUSD>
        <pctVal>0.4067121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5</title>
        <cusip>12668AFL4</cusip>
        <identifiers>
          <isin value="US12668AFL44"/>
        </identifiers>
        <balance>610209.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545665.260000</valUSD>
        <pctVal>0.0352161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1</title>
        <cusip>12668AGN9</cusip>
        <identifiers>
          <isin value="US12668AGN90"/>
        </identifiers>
        <balance>13720119.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14075698.530000</valUSD>
        <pctVal>0.9084155</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.74838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-62</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2</title>
        <cusip>12668ATS4</cusip>
        <identifiers>
          <isin value="US12668ATS41"/>
        </identifiers>
        <balance>11815469.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>373367.650000</valUSD>
        <pctVal>0.0240964</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.799336</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-62</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1</title>
        <cusip>12668ATW5</cusip>
        <identifiers>
          <isin value="US12668ATW52"/>
        </identifiers>
        <balance>6863341.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>326788.750000</valUSD>
        <pctVal>0.0210902</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.6649</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8</title>
        <cusip>12668AU52</cusip>
        <identifiers>
          <isin value="US12668AU529"/>
        </identifiers>
        <balance>116895.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117793.970000</valUSD>
        <pctVal>0.0076022</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3</title>
        <cusip>12668AV51</cusip>
        <identifiers>
          <isin value="US12668AV519"/>
        </identifiers>
        <balance>208074.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167880.990000</valUSD>
        <pctVal>0.0108347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-J7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6</title>
        <cusip>12667GF73</cusip>
        <identifiers>
          <isin value="US12667GF735"/>
        </identifiers>
        <balance>1401328.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1185926.290000</valUSD>
        <pctVal>0.0765371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5</title>
        <cusip>02147MAE1</cusip>
        <identifiers>
          <isin value="US02147MAE12"/>
        </identifiers>
        <balance>10029781.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3380299.070000</valUSD>
        <pctVal>0.2181573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.13162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2</title>
        <cusip>02148KAB0</cusip>
        <identifiers>
          <isin value="US02148KAB08"/>
        </identifiers>
        <balance>1452308.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1340735.860000</valUSD>
        <pctVal>0.0865282</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7</title>
        <cusip>02149JAG1</cusip>
        <identifiers>
          <isin value="US02149JAG13"/>
        </identifiers>
        <balance>1039429.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>651772.580000</valUSD>
        <pctVal>0.0420640</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27</title>
        <cusip>02150GBD9</cusip>
        <identifiers>
          <isin value="US02150GBD97"/>
        </identifiers>
        <balance>931719.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1863500.690000</valUSD>
        <pctVal>0.1202664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>26.8897</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31</title>
        <cusip>02150EBG7</cusip>
        <identifiers>
          <isin value="US02150EBG70"/>
        </identifiers>
        <balance>2352697.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1869187.360000</valUSD>
        <pctVal>0.1206334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9</title>
        <cusip>02147BAJ4</cusip>
        <identifiers>
          <isin value="US02147BAJ44"/>
        </identifiers>
        <balance>5928835.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4042528.140000</valUSD>
        <pctVal>0.2608961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1</title>
        <cusip>02150QAG1</cusip>
        <identifiers>
          <isin value="US02150QAG10"/>
        </identifiers>
        <balance>160217.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138362.760000</valUSD>
        <pctVal>0.0089296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.93462</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-J1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3</title>
        <cusip>02149MAR0</cusip>
        <identifiers>
          <isin value="US02149MAR07"/>
        </identifiers>
        <balance>3047518.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1900427.060000</valUSD>
        <pctVal>0.1226495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-J1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8</title>
        <cusip>02149MAW9</cusip>
        <identifiers>
          <isin value="US02149MAW91"/>
        </identifiers>
        <balance>9890635.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6167783.520000</valUSD>
        <pctVal>0.3980556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-J2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J2 2A1</title>
        <cusip>020908AD1</cusip>
        <identifiers>
          <isin value="US020908AD14"/>
        </identifiers>
        <balance>332041.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>329797.050000</valUSD>
        <pctVal>0.0212844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2</title>
        <cusip>02150PAC2</cusip>
        <identifiers>
          <isin value="US02150PAC23"/>
        </identifiers>
        <balance>12539895.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10052001.290000</valUSD>
        <pctVal>0.6487347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4</title>
        <cusip>02147DAU5</cusip>
        <identifiers>
          <isin value="US02147DAU54"/>
        </identifiers>
        <balance>10658986.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10038472.290000</valUSD>
        <pctVal>0.6478615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2005-7C</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 7CB 1A4</title>
        <cusip>12667F4F9</cusip>
        <identifiers>
          <isin value="US12667F4F92"/>
        </identifiers>
        <balance>32116.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32544.350000</valUSD>
        <pctVal>0.0021003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23</title>
        <cusip>02146TAY3</cusip>
        <identifiers>
          <isin value="US02146TAY38"/>
        </identifiers>
        <balance>349558.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296258.430000</valUSD>
        <pctVal>0.0191199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3</title>
        <cusip>02151BAT5</cusip>
        <identifiers>
          <isin value="US02151BAT52"/>
        </identifiers>
        <balance>9312298.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5801416.390000</valUSD>
        <pctVal>0.3744110</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5</title>
        <cusip>02148FAE5</cusip>
        <identifiers>
          <isin value="US02148FAE51"/>
        </identifiers>
        <balance>1952365.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1947724.940000</valUSD>
        <pctVal>0.1257020</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-BC2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A</title>
        <cusip>12669QAA7</cusip>
        <identifiers>
          <isin value="US12669QAA76"/>
        </identifiers>
        <balance>8615495.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7878906.290000</valUSD>
        <pctVal>0.5084878</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A3</title>
        <cusip>12667TAD7</cusip>
        <identifiers>
          <isin value="US12667TAD72"/>
        </identifiers>
        <balance>1905016.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1900854.010000</valUSD>
        <pctVal>0.1226771</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.18838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6</title>
        <cusip>126670AF5</cusip>
        <identifiers>
          <isin value="US126670AF54"/>
        </identifiers>
        <balance>44079.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45319.580000</valUSD>
        <pctVal>0.0029248</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4</title>
        <cusip>126670LS5</cusip>
        <identifiers>
          <isin value="US126670LS56"/>
        </identifiers>
        <balance>21299999.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21355301.180000</valUSD>
        <pctVal>1.3782255</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.74838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7</title>
        <cusip>1266732N1</cusip>
        <identifiers>
          <isin value="US1266732N10"/>
        </identifiers>
        <balance>3292232.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>474710.940000</valUSD>
        <pctVal>0.0306368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.36838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A</title>
        <cusip>12667AAA4</cusip>
        <identifiers>
          <isin value="US12667AAA43"/>
        </identifiers>
        <balance>12826883.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12095813.140000</valUSD>
        <pctVal>0.7806379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A3</title>
        <cusip>12666VAD3</cusip>
        <identifiers>
          <isin value="US12666VAD38"/>
        </identifiers>
        <balance>7655260.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6986584.560000</valUSD>
        <pctVal>0.4508992</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.25838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1</title>
        <cusip>045427AE1</cusip>
        <identifiers>
          <isin value="US045427AE12"/>
        </identifiers>
        <balance>34748292.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26800972.320000</valUSD>
        <pctVal>1.7296775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 9 1AF3</title>
        <cusip>12666RAC4</cusip>
        <identifiers>
          <isin value="US12666RAC43"/>
        </identifiers>
        <balance>2301529.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2195999.410000</valUSD>
        <pctVal>0.1417251</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.859</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-S6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6</title>
        <cusip>126684AF6</cusip>
        <identifiers>
          <isin value="US126684AF66"/>
        </identifiers>
        <balance>56965.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58056.040000</valUSD>
        <pctVal>0.0037468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A</title>
        <cusip>12670FAA8</cusip>
        <identifiers>
          <isin value="US12670FAA84"/>
        </identifiers>
        <balance>21703923.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19344320.730000</valUSD>
        <pctVal>1.2484411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2006-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M2</title>
        <cusip>126670UX4</cusip>
        <identifiers>
          <isin value="US126670UX41"/>
        </identifiers>
        <balance>8000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7641717.600000</valUSD>
        <pctVal>0.4931801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.43838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-J8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8</title>
        <cusip>12669GDX6</cusip>
        <identifiers>
          <isin value="US12669GDX60"/>
        </identifiers>
        <balance>113670.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113812.580000</valUSD>
        <pctVal>0.0073452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1</title>
        <cusip>12669GUX7</cusip>
        <identifiers>
          <isin value="US12669GUX77"/>
        </identifiers>
        <balance>222313.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200039.200000</valUSD>
        <pctVal>0.0129101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.61838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-24</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 24 A22</title>
        <cusip>126694KN7</cusip>
        <identifiers>
          <isin value="US126694KN70"/>
        </identifiers>
        <balance>41557.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34521.030000</valUSD>
        <pctVal>0.0022279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-24</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 24 A7</title>
        <cusip>126694JX7</cusip>
        <identifiers>
          <isin value="US126694JX71"/>
        </identifiers>
        <balance>50314.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46299.680000</valUSD>
        <pctVal>0.0029881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-HYB7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1</title>
        <cusip>126694MH8</cusip>
        <identifiers>
          <isin value="US126694MH84"/>
        </identifiers>
        <balance>11343393.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10439963.960000</valUSD>
        <pctVal>0.6737730</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.78391</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2</title>
        <cusip>126694YN2</cusip>
        <identifiers>
          <isin value="US126694YN25"/>
        </identifiers>
        <balance>1362029.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>547539.700000</valUSD>
        <pctVal>0.0353370</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 10 A18</title>
        <cusip>12545CAT7</cusip>
        <identifiers>
          <isin value="US12545CAT71"/>
        </identifiers>
        <balance>229845.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191113.530000</valUSD>
        <pctVal>0.0123341</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 11 A1</title>
        <cusip>12544LAA9</cusip>
        <identifiers>
          <isin value="US12544LAA98"/>
        </identifiers>
        <balance>5042975.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3973291.250000</valUSD>
        <pctVal>0.2564277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 13 A14</title>
        <cusip>17025JAP8</cusip>
        <identifiers>
          <isin value="US17025JAP84"/>
        </identifiers>
        <balance>2203.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1781.660000</valUSD>
        <pctVal>0.0001150</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-HY3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1</title>
        <cusip>12544WAG2</cusip>
        <identifiers>
          <isin value="US12544WAG24"/>
        </identifiers>
        <balance>4106957.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3979367.060000</valUSD>
        <pctVal>0.2568198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.29468</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>CRECERA AMERICAS LLC 2017-1</name>
        <lei>N/A</lei>
        <title>CRECERA AMERICAS LLC CALLC 2017 1 A 144A</title>
        <cusip>22534CAA0</cusip>
        <identifiers>
          <isin value="US22534CAA09"/>
        </identifiers>
        <balance>22300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22333105.470000</valUSD>
        <pctVal>1.4413309</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.37413</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT BASED ASSET SRVC &amp; SEC 2006-MH1</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2006 MH1 M2 144A</title>
        <cusip>1248P8AJ8</cusip>
        <identifiers>
          <isin value="US1248P8AJ81"/>
        </identifiers>
        <balance>8738371.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8971002.350000</valUSD>
        <pctVal>0.5789693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR</title>
        <cusip>225401AJ7</cusip>
        <identifiers>
          <isin value="US225401AJ72"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>855572.000000</valUSD>
        <pctVal>0.0552168</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR</title>
        <cusip>225401AK4</cusip>
        <identifiers>
          <isin value="US225401AK46"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>428342.000000</valUSD>
        <pctVal>0.0276443</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-5R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5</title>
        <cusip>12640QAE3</cusip>
        <identifiers>
          <isin value="US12640QAE35"/>
        </identifiers>
        <balance>11627099.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5548553.260000</valUSD>
        <pctVal>0.3580918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2009-16R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A</title>
        <cusip>12642YGQ1</cusip>
        <identifiers>
          <isin value="US12642YGQ17"/>
        </identifiers>
        <balance>11146837.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10562635.140000</valUSD>
        <pctVal>0.6816899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.99009</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2009-16R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A</title>
        <cusip>12642YGT5</cusip>
        <identifiers>
          <isin value="US12642YGT55"/>
        </identifiers>
        <balance>14454286.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5665062.620000</valUSD>
        <pctVal>0.3656110</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2009-1R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A</title>
        <cusip>12640XAG3</cusip>
        <identifiers>
          <isin value="US12640XAG34"/>
        </identifiers>
        <balance>13226256.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13088397.860000</valUSD>
        <pctVal>0.8446972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.11136</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERT 2006</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A</title>
        <cusip>225470M67</cusip>
        <identifiers>
          <isin value="US225470M675"/>
        </identifiers>
        <balance>6873151.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5210759.280000</valUSD>
        <pctVal>0.3362913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.896</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A</title>
        <cusip>12642MBQ2</cusip>
        <identifiers>
          <isin value="US12642MBQ24"/>
        </identifiers>
        <balance>3624803.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2104538.170000</valUSD>
        <pctVal>0.1358224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A</title>
        <cusip>12641TAT3</cusip>
        <identifiers>
          <isin value="US12641TAT34"/>
        </identifiers>
        <balance>8181261.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8078672.740000</valUSD>
        <pctVal>0.5213803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.33536</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A</title>
        <cusip>12646DAY2</cusip>
        <identifiers>
          <isin value="US12646DAY22"/>
        </identifiers>
        <balance>45693837.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28420867.850000</valUSD>
        <pctVal>1.8342221</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.81907</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSAB MORTGAGE BACKED TR 2007-1</name>
        <lei>N/A</lei>
        <title>CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5</title>
        <cusip>12629EBB0</cusip>
        <identifiers>
          <isin value="US12629EBB02"/>
        </identifiers>
        <balance>3526361.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3153820.630000</valUSD>
        <pctVal>0.2035408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEBUSSY DTC 1A</name>
        <lei>N/A</lei>
        <title>DEBUSSY DTC DBSSY 1A A 144A</title>
        <cusip>ACI06HWY2</cusip>
        <identifiers>
          <isin value="XS0948871867"/>
        </identifiers>
        <balance>19865634.750000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>24411126.160000</valUSD>
        <pctVal>1.5754419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.93</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEBUSSY DTC 1A</name>
        <lei>N/A</lei>
        <title>DEBUSSY DTC DBSSY 1A B 144A</title>
        <cusip>ACI06HWX4</cusip>
        <identifiers>
          <isin value="XS0948872915"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>6081659.300000</valUSD>
        <pctVal>0.3924973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SEC INC MTGE LO 2006-AR5</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR5 21A</title>
        <cusip>25150NAT1</cusip>
        <identifiers>
          <isin value="US25150NAT19"/>
        </identifiers>
        <balance>235746.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204228.260000</valUSD>
        <pctVal>0.0131805</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DIAMOND RESORTS INTERNATIONAL INC</name>
        <lei>5493008MIJR7VMQP7U77</lei>
        <title>DIAMOND RESORTS INTL INC SR SECURED 144A 09/23 7.75</title>
        <cusip>23422RAB8</cusip>
        <identifiers>
          <isin value="US23422RAB87"/>
        </identifiers>
        <balance>466000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>481727.500000</valUSD>
        <pctVal>0.0310897</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DIAMOND RESORTS INTERNATIONAL INC</name>
        <lei>5493008MIJR7VMQP7U77</lei>
        <title>DIAMOND RESORTS INTL INC SR UNSECURED 144A 09/24 10.75</title>
        <cusip>23422RAA0</cusip>
        <identifiers>
          <isin value="US23422RAA05"/>
        </identifiers>
        <balance>5500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5692500.000000</valUSD>
        <pctVal>0.3673818</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DIAMOND RESORTS INTERNATIONAL INC</name>
        <lei>5493008MIJR7VMQP7U77</lei>
        <title>DIAMOND RESORTS INTL INC TERM LOAN</title>
        <cusip>25272YAE3</cusip>
        <identifiers>
          <isin value="US25272YAE32"/>
        </identifiers>
        <balance>7583873.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7400593.700000</valUSD>
        <pctVal>0.4776185</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DISH DBS CORPORATION</name>
        <lei>N/A</lei>
        <title>DISH DBS CORP COMPANY GUAR 07/22 5.875</title>
        <cusip>25470XAJ4</cusip>
        <identifiers>
          <isin value="US25470XAJ46"/>
        </identifiers>
        <balance>14000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14612.500000</valUSD>
        <pctVal>0.0009431</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DTEK HOLDINGS LIMITED</name>
        <lei>N/A</lei>
        <title>DTEK HOLDINGS LTD EUR TERM LOAN</title>
        <cusip>935YHVII2</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BKL4589T9"/>
        </identifiers>
        <balance>945715.060000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>910911.600000</valUSD>
        <pctVal>0.0587883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DTEK HOLDINGS LIMITED</name>
        <lei>N/A</lei>
        <title>DTEK HOLDINGS LTD EUR TERM LOAN B</title>
        <cusip>935YHXII8</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BKL4589R3"/>
        </identifiers>
        <balance>2317638.970000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>2232347.040000</valUSD>
        <pctVal>0.1440709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DUBAI WORLD CORP</name>
        <lei>N/A</lei>
        <title>DUBAI WORLD TL B1</title>
        <cusip>922KUQII3</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL1706581"/>
        </identifiers>
        <balance>29048452.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27232924.180000</valUSD>
        <pctVal>1.7575547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ECAF I LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>ECAF LTD ECAF 2015 1A A2 144A</title>
        <cusip>26827EAC9</cusip>
        <identifiers>
          <isin value="US26827EAC93"/>
        </identifiers>
        <balance>2369466.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2372151.570000</valUSD>
        <pctVal>0.1530936</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.947</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EDISON INTERNATIONAL</name>
        <lei>549300I7ROF15MAEVP56</lei>
        <title>EDISON INTERNATIONAL SR UNSECURED 03/23 2.95</title>
        <cusip>281020AJ6</cusip>
        <identifiers>
          <isin value="US281020AJ68"/>
        </identifiers>
        <balance>13000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13036.680000</valUSD>
        <pctVal>0.0008414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EDISON INTERNATIONAL</name>
        <lei>549300I7ROF15MAEVP56</lei>
        <title>EDISON INTERNATIONAL SR UNSECURED 06/27 5.75</title>
        <cusip>281020AN7</cusip>
        <identifiers>
          <isin value="US281020AN70"/>
        </identifiers>
        <balance>127000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142957.730000</valUSD>
        <pctVal>0.0092262</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EDISON INTERNATIONAL</name>
        <lei>549300I7ROF15MAEVP56</lei>
        <title>EDISON INTERNATIONAL SR UNSECURED 09/22 2.4</title>
        <cusip>281020AL1</cusip>
        <identifiers>
          <isin value="US281020AL15"/>
        </identifiers>
        <balance>188000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>186422.540000</valUSD>
        <pctVal>0.0120313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ELDORADO RESORTS INC</name>
        <lei>5299000BKFWWVND5L441</lei>
        <title>ELDORADO RESORTS INC COMPANY GUAR 09/26 6</title>
        <cusip>28470RAG7</cusip>
        <identifiers>
          <isin value="US28470RAG74"/>
        </identifiers>
        <balance>5500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6050000.000000</valUSD>
        <pctVal>0.3904541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMC MORTGAGE LOAN TRUST 2004-AA</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A</title>
        <cusip>268668DE7</cusip>
        <identifiers>
          <isin value="US268668DE72"/>
        </identifiers>
        <balance>2813000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2505993.680000</valUSD>
        <pctVal>0.1617315</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.39338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMC MORTGAGE LOAN TRUST 2005-B</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2005 B A1 144A</title>
        <cusip>268668EW6</cusip>
        <identifiers>
          <isin value="US268668EW61"/>
        </identifiers>
        <balance>2014891.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2004070.810000</valUSD>
        <pctVal>0.1293384</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMERALD BAY SA</name>
        <lei>2221008SU8XG8LZVS860</lei>
        <title>EMERALD BAY SA PASS THRU CE 144A 10/20 0.0000</title>
        <cusip>ACI0YB9V6</cusip>
        <identifiers>
          <isin value="XS1685617760"/>
        </identifiers>
        <balance>63000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>67551.050000</valUSD>
        <pctVal>0.0043596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-08</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENSCO JERSEY FINANCE LIMITED</name>
        <lei>N/A</lei>
        <title>ENSCO JERSEY FINANCE LTD COMPANY GUAR 01/24 3</title>
        <cusip>29359WAB1</cusip>
        <identifiers>
          <isin value="US29359WAB19"/>
        </identifiers>
        <balance>66000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44880.000000</valUSD>
        <pctVal>0.0028965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>Y</isMandatoryConvrtbl>
          <isContngtConvrtbl>N</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Ensco Plc</name>
              <title>Ensco Plc</title>
              <curCd>USD</curCd>
              <identifiers>
                <isin value="GB00B4VLR192"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="17.8336" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENVISION HEALTHCARE CORPORATION</name>
        <lei>549300OL60X0LPKY8N60</lei>
        <title>ENTERPRISE MERGER SUB INC INITIAL TERM LOANS</title>
        <cusip>29373UAC5</cusip>
        <identifiers>
          <isin value="US29373UAC53"/>
        </identifiers>
        <balance>25791033.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21105654.170000</valUSD>
        <pctVal>1.3621138</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENVISION HEALTHCARE CORPORATION</name>
        <lei>549300OL60X0LPKY8N60</lei>
        <title>ENVISION HEALTHCARE CORP COMPANY GUAR 144A 10/26 8.75</title>
        <cusip>29373TAA2</cusip>
        <identifiers>
          <isin value="US29373TAA25"/>
        </identifiers>
        <balance>5765000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3545475.000000</valUSD>
        <pctVal>0.2288174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ESH HOSPITALITY INC</name>
        <lei>54930042FMK7X7SQ2896</lei>
        <title>ESH HOSPITALITY INC COMPANY GUAR 144A 10/27 4.625</title>
        <cusip>26907YAB0</cusip>
        <identifiers>
          <isin value="US26907YAB02"/>
        </identifiers>
        <balance>312000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>313560.000000</valUSD>
        <pctVal>0.0202365</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL-UK 2007-4BL PLC 4X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 4X B1A REGS</title>
        <cusip>G3299TAB9</cusip>
        <identifiers>
          <isin value="XS0311705759"/>
        </identifiers>
        <balance>6317299.720000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>7311419.270000</valUSD>
        <pctVal>0.4718634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.78463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL-UK 2007-4BL PLC 4X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 4X C1A REGS</title>
        <cusip>G3299TAD5</cusip>
        <identifiers>
          <isin value="XS0311708696"/>
        </identifiers>
        <balance>6558882.200000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>7344481.780000</valUSD>
        <pctVal>0.4739972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL-UK 2007-4BL PLC 4X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 4X D1A REGS</title>
        <cusip>G3299TAJ2</cusip>
        <identifiers>
          <isin value="XS0311713001"/>
        </identifiers>
        <balance>4044691.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>4460341.220000</valUSD>
        <pctVal>0.2878609</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL-UK 2007-4BL PLC 4X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 4X E1C REGS</title>
        <cusip>G3299TAF0</cusip>
        <identifiers>
          <isin value="XS0311717416"/>
        </identifiers>
        <balance>1446845.460000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1676173.140000</valUSD>
        <pctVal>0.1081766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.28463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EUROSAIL-UK 2007-4BL PLC 4X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 4X RESD REGS</title>
        <cusip>B2428WII0</cusip>
        <identifiers>
          <isin value="XS0311833247"/>
        </identifiers>
        <balance>1673.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2147632.010000</valUSD>
        <pctVal>0.1386036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXELA INTERMEDIATE LLC / EXELA FINANCE INC</name>
        <lei>N/A</lei>
        <title>EXELA INTERMED/EXELA FIN SR SECURED 144A 07/23 10</title>
        <cusip>30162RAA9</cusip>
        <identifiers>
          <isin value="US30162RAA95"/>
        </identifiers>
        <balance>267000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150187.500000</valUSD>
        <pctVal>0.0096928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXPORT CREDIT BANK OF TURKEY (TURK EXIMBANK)</name>
        <lei>789000JVRVYLAXGDWR11</lei>
        <title>EXPORT CREDIT BANK OF TU SR UNSECURED 144A 01/24 8.25</title>
        <cusip>90015LAF4</cusip>
        <identifiers>
          <isin value="US90015LAF40"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>635460.000000</valUSD>
        <pctVal>0.0410112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FAIRSTONE FINANCIAL INC</name>
        <lei>549300CWWT866A22GS52</lei>
        <title>FAIRSTONE FINANCIAL INC SR UNSECURED 144A 07/24 7.875</title>
        <cusip>30575FAA6</cusip>
        <identifiers>
          <isin value="US30575FAA66"/>
        </identifiers>
        <balance>726000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>760485.000000</valUSD>
        <pctVal>0.0490801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2003-49</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 49 SY</title>
        <cusip>31393C2N2</cusip>
        <identifiers>
          <isin value="US31393C2N26"/>
        </identifiers>
        <balance>931123.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69235.560000</valUSD>
        <pctVal>0.0044683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.08162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2007-109</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 109 PI</title>
        <cusip>31396X2X1</cusip>
        <identifiers>
          <isin value="US31396X2X15"/>
        </identifiers>
        <balance>202603.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30478.310000</valUSD>
        <pctVal>0.0019670</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.33162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2007-53</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 53 SL</title>
        <cusip>31396WCX2</cusip>
        <identifiers>
          <isin value="US31396WCX20"/>
        </identifiers>
        <balance>409482.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56979.020000</valUSD>
        <pctVal>0.0036773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.70162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2008-10</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2008 10 LI</title>
        <cusip>31396YKY7</cusip>
        <identifiers>
          <isin value="US31396YKY76"/>
        </identifiers>
        <balance>1578834.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310976.460000</valUSD>
        <pctVal>0.0200698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.96162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2010-134</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 134 BS</title>
        <cusip>31398SPK3</cusip>
        <identifiers>
          <isin value="US31398SPK32"/>
        </identifiers>
        <balance>5713483.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>735675.620000</valUSD>
        <pctVal>0.0474789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.05162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2011-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 63 CS</title>
        <cusip>31397USG5</cusip>
        <identifiers>
          <isin value="US31397USG57"/>
        </identifiers>
        <balance>3897560.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>589606.950000</valUSD>
        <pctVal>0.0380520</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.90162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01</name>
        <lei>N/A</lei>
        <title>FANNIE MAE   CAS CAS 2017 C01 1B1</title>
        <cusip>30711XEQ3</cusip>
        <identifiers>
          <isin value="US30711XEQ34"/>
        </identifiers>
        <balance>2460000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2903371.700000</valUSD>
        <pctVal>0.1873774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.76838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE CONNECTICULT AVENUE SECURITIES 2017-C01</name>
        <lei>N/A</lei>
        <title>FANNIE MAE   CAS CAS 2017 C01 1M2</title>
        <cusip>30711XEP5</cusip>
        <identifiers>
          <isin value="US30711XEP50"/>
        </identifiers>
        <balance>1830000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1925159.270000</valUSD>
        <pctVal>0.1242457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.56838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2006-113</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 113 BQ</title>
        <cusip>31396LZ52</cusip>
        <identifiers>
          <isin value="US31396LZ520"/>
        </identifiers>
        <balance>108852.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14523.870000</valUSD>
        <pctVal>0.0009373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.63162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2007-88</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 88 MI</title>
        <cusip>31396XUW2</cusip>
        <identifiers>
          <isin value="US31396XUW28"/>
        </identifiers>
        <balance>710769.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128536.410000</valUSD>
        <pctVal>0.0082955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.50162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2008-9</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2008 9 SA</title>
        <cusip>31396YGT3</cusip>
        <identifiers>
          <isin value="US31396YGT38"/>
        </identifiers>
        <balance>1007911.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>215019.170000</valUSD>
        <pctVal>0.0138769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.98162</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-46</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 46 LS</title>
        <cusip>3136A5J64</cusip>
        <identifiers>
          <isin value="US3136A5J646"/>
        </identifiers>
        <balance>5984957.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7972404.990000</valUSD>
        <pctVal>0.5145220</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.83364</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHEARTMEDIA INC</name>
        <lei>N/A</lei>
        <title>IHEARTMEDIA INC   CLASS A COMMON STOCK</title>
        <cusip>45174J509</cusip>
        <identifiers>
          <isin value="US45174J5092"/>
        </identifiers>
        <balance>82474.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1237110.000000</valUSD>
        <pctVal>0.0798404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHEARTMEDIA INC</name>
        <lei>N/A</lei>
        <title>IHEARTMEDIA INC COMMON STOCK UNIT</title>
        <cusip>45174J608</cusip>
        <identifiers>
          <isin value="US45174J6082"/>
        </identifiers>
        <balance>1108.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>16620.000000</valUSD>
        <pctVal>0.0010726</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2</title>
        <cusip>32027NXE6</cusip>
        <identifiers>
          <isin value="US32027NXE65"/>
        </identifiers>
        <balance>23487000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22391700.200000</valUSD>
        <pctVal>1.4451125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.51838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2005-FF12</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF12 M2</title>
        <cusip>32027NXX4</cusip>
        <identifiers>
          <isin value="US32027NXX47"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4553018.500000</valUSD>
        <pctVal>0.2938421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.48838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ALT MTG SEC 2005-AA6</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2</title>
        <cusip>32051GPZ2</cusip>
        <identifiers>
          <isin value="US32051GPZ27"/>
        </identifiers>
        <balance>949661.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>178800.100000</valUSD>
        <pctVal>0.0115394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.18227</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ALT MTG SEC 2006-FA6</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15</title>
        <cusip>32052FAX4</cusip>
        <identifiers>
          <isin value="US32052FAX42"/>
        </identifiers>
        <balance>1079944.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>346010.170000</valUSD>
        <pctVal>0.0223308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.08162</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ASSET SECURITIES 2007-4</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5</title>
        <cusip>32056CAE9</cusip>
        <identifiers>
          <isin value="US32056CAE93"/>
        </identifiers>
        <balance>408119.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>318330.490000</valUSD>
        <pctVal>0.0205444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST QUANTUM MINERALS LTD</name>
        <lei>549300I7UVBGWRYMYZ18</lei>
        <title>FIRST QUANTUM MINERALS L COMPANY GUAR 144A 02/21 7</title>
        <cusip>335934AF2</cusip>
        <identifiers>
          <isin value="US335934AF20"/>
        </identifiers>
        <balance>448000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>452480.000000</valUSD>
        <pctVal>0.0292021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST QUANTUM MINERALS LTD</name>
        <lei>549300I7UVBGWRYMYZ18</lei>
        <title>FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/24 6.5</title>
        <cusip>335934AP0</cusip>
        <identifiers>
          <isin value="US335934AP02"/>
        </identifiers>
        <balance>3902000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3741042.500000</valUSD>
        <pctVal>0.2414389</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST QUANTUM MINERALS LTD</name>
        <lei>549300I7UVBGWRYMYZ18</lei>
        <title>FIRST QUANTUM MINERALS L COMPANY GUAR 144A 03/26 6.875</title>
        <cusip>335934AR6</cusip>
        <identifiers>
          <isin value="US335934AR67"/>
        </identifiers>
        <balance>4282000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4100015.000000</valUSD>
        <pctVal>0.2646062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FLEET US BIDCO INC</name>
        <lei>N/A</lei>
        <title>FLEET US BIDCO INC TERM LOAN B</title>
        <cusip>935ZJRII6</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL3156173"/>
        </identifiers>
        <balance>69000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69429.530000</valUSD>
        <pctVal>0.0044808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.299</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FLEX LTD (AKA: FLEXTRONICS INTERNATIONAL LTD)</name>
        <lei>549300EAQH74YHD07T53</lei>
        <title>FLEX LTD SR UNSECURED 06/29 4.875</title>
        <cusip>33938XAA3</cusip>
        <identifiers>
          <isin value="US33938XAA37"/>
        </identifiers>
        <balance>316000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>332421.840000</valUSD>
        <pctVal>0.0214538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FMG RESOURCES AUGUST 2006 PTY LTD (AKA: FMG FINANCE PTY LIMITED)</name>
        <lei>549300EFD6S2NFE9D745</lei>
        <title>FMG RESOURCES AUG 2006 COMPANY GUAR 144A 09/27 4.5</title>
        <cusip>30251GBA4</cusip>
        <identifiers>
          <isin value="US30251GBA40"/>
        </identifiers>
        <balance>132000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129558.000000</valUSD>
        <pctVal>0.0083614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FONDO DE TITULIZACION DE ACTIVOS UCI 16</name>
        <lei>N/A</lei>
        <title>FTA UCL 16 ABS UCI 16 A2 REGS</title>
        <cusip>B1GGX8II3</cusip>
        <identifiers>
          <isin value="ES0338186010"/>
        </identifiers>
        <balance>1255340.130000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1310066.500000</valUSD>
        <pctVal>0.0845489</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC</name>
        <lei>529900E7PUVK6BC8PE80</lei>
        <title>FORTRESS TRANS + INFRAST SR UNSECURED 144A 03/22 6.75</title>
        <cusip>34960PAA9</cusip>
        <identifiers>
          <isin value="US34960PAA93"/>
        </identifiers>
        <balance>1334000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1397365.000000</valUSD>
        <pctVal>0.0901830</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FORTRESS TRANSPORTATION AND INFRASTRUCTURE INVESTORS LLC</name>
        <lei>529900E7PUVK6BC8PE80</lei>
        <title>FORTRESS TRANS + INFRAST SR UNSECURED 144A 10/25 6.5</title>
        <cusip>34960PAB7</cusip>
        <identifiers>
          <isin value="US34960PAB76"/>
        </identifiers>
        <balance>1128000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1161840.000000</valUSD>
        <pctVal>0.0749827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 3181</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3181 PS</title>
        <cusip>31396URJ1</cusip>
        <identifiers>
          <isin value="US31396URJ15"/>
        </identifiers>
        <balance>2033871.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>368396.050000</valUSD>
        <pctVal>0.0237755</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.4425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 3211</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3211 SH</title>
        <cusip>31397BA50</cusip>
        <identifiers>
          <isin value="US31397BA506"/>
        </identifiers>
        <balance>701563.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137928.660000</valUSD>
        <pctVal>0.0089016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5525</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 3311</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3311 EI</title>
        <cusip>31397H6H6</cusip>
        <identifiers>
          <isin value="US31397H6H61"/>
        </identifiers>
        <balance>150244.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18642.520000</valUSD>
        <pctVal>0.0012031</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.3825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3</title>
        <cusip>3137FCLG7</cusip>
        <identifiers>
          <isin value="US3137FCLG73"/>
        </identifiers>
        <balance>23213000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3242617.010000</valUSD>
        <pctVal>0.2092716</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.0795</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3050</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3050 SA</title>
        <cusip>31396EDX1</cusip>
        <identifiers>
          <isin value="US31396EDX13"/>
        </identifiers>
        <balance>66022.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71546.200000</valUSD>
        <pctVal>0.0046174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>11.8063</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3213</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3213 LS</title>
        <cusip>31397AZX4</cusip>
        <identifiers>
          <isin value="US31397AZX44"/>
        </identifiers>
        <balance>1228305.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>278535.530000</valUSD>
        <pctVal>0.0179761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7525</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3922</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3922 GS</title>
        <cusip>3137AFHT2</cusip>
        <identifiers>
          <isin value="US3137AFHT27"/>
        </identifiers>
        <balance>602120.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>884477.190000</valUSD>
        <pctVal>0.0570823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.24925</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-HQ1</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC   STACR STACR 2015 HQ1 B</title>
        <cusip>3137G0EM7</cusip>
        <identifiers>
          <isin value="US3137G0EM74"/>
        </identifiers>
        <balance>3178832.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4190927.620000</valUSD>
        <pctVal>0.2704735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>12.7684</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-DNA2</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC   STACR STACR 2016 DNA2 B</title>
        <cusip>3137G0JZ3</cusip>
        <identifiers>
          <isin value="US3137G0JZ33"/>
        </identifiers>
        <balance>496468.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>690617.200000</valUSD>
        <pctVal>0.0445710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>12.5184</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2016-HQA3</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC   STACR STACR 2016 HQA3 B</title>
        <cusip>3137G0LF4</cusip>
        <identifiers>
          <isin value="US3137G0LF41"/>
        </identifiers>
        <balance>2095696.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2626471.400000</valUSD>
        <pctVal>0.1695069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>11.0184</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC   STACR STACR 2017 DNA2 B1</title>
        <cusip>3137G0PR4</cusip>
        <identifiers>
          <isin value="US3137G0PR43"/>
        </identifiers>
        <balance>2350000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2716117.310000</valUSD>
        <pctVal>0.1752924</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.16838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-3136</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3136 NS</title>
        <cusip>31396NH41</cusip>
        <identifiers>
          <isin value="US31396NH417"/>
        </identifiers>
        <balance>849788.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109565.780000</valUSD>
        <pctVal>0.0070711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.6725</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2014-K715</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2014 K715 D 144A</title>
        <cusip>30291XAJ1</cusip>
        <identifiers>
          <isin value="US30291XAJ19"/>
        </identifiers>
        <balance>15521000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14205272.410000</valUSD>
        <pctVal>0.9167779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2014-K715</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2014 K715 X2A 144A</title>
        <cusip>30291XAA0</cusip>
        <identifiers>
          <isin value="US30291XAA00"/>
        </identifiers>
        <balance>154708285.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149649.320000</valUSD>
        <pctVal>0.0096580</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2014-K715</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2014 K715 X2B 144A</title>
        <cusip>30291XAC6</cusip>
        <identifiers>
          <isin value="US30291XAC65"/>
        </identifiers>
        <balance>32600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39540.540000</valUSD>
        <pctVal>0.0025519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2017-K71</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2017 K71 D 144A</title>
        <cusip>35708WAW0</cusip>
        <identifiers>
          <isin value="US35708WAW01"/>
        </identifiers>
        <balance>24871018.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13320724.490000</valUSD>
        <pctVal>0.8596911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2017-K71</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2017 K71 X2A 144A</title>
        <cusip>35708WAN0</cusip>
        <identifiers>
          <isin value="US35708WAN02"/>
        </identifiers>
        <balance>268019921.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1422488.930000</valUSD>
        <pctVal>0.0918044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2017-K71</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2017 K71 X2B 144A</title>
        <cusip>35708WAQ3</cusip>
        <identifiers>
          <isin value="US35708WAQ33"/>
        </identifiers>
        <balance>62177611.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>348082.700000</valUSD>
        <pctVal>0.0224645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2018-KL3L</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2018 KL3L BLNZ 144A</title>
        <cusip>30307VAL2</cusip>
        <identifiers>
          <isin value="US30307VAL27"/>
        </identifiers>
        <balance>2680000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2579453.100000</valUSD>
        <pctVal>0.1664724</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.25561</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FRESH MARKET INC/THE</name>
        <lei>529900QM5ZSBEBR6CS58</lei>
        <title>FRESH MARKET INC SR SECURED 144A 05/23 9.75</title>
        <cusip>35804HAA4</cusip>
        <identifiers>
          <isin value="US35804HAA41"/>
        </identifiers>
        <balance>8520000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4984200.000000</valUSD>
        <pctVal>0.3216696</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FRONTIER COMMUNICATIONS CORPORATION</name>
        <lei>549300ZCZ76HYCS0H445</lei>
        <title>FRONTIER COMMUNICATIONS CORP TERM LOAN B</title>
        <cusip>35906EAJ9</cusip>
        <identifiers>
          <isin value="US35906EAJ91"/>
        </identifiers>
        <balance>2743859.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2744715.760000</valUSD>
        <pctVal>0.1771381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FRONTIER COMMUNICATIONS CORPORATION</name>
        <lei>549300ZCZ76HYCS0H445</lei>
        <title>FRONTIER COMMUNICATIONS SR SECURED 144A 04/27 8</title>
        <cusip>35906ABC1</cusip>
        <identifiers>
          <isin value="US35906ABC18"/>
        </identifiers>
        <balance>316000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>334072.040000</valUSD>
        <pctVal>0.0215603</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>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FRONTIER FINANCE PLC</name>
        <lei>N/A</lei>
        <title>FRONTIER FINANCE PLC COMPANY GUAR 144A 03/22 8</title>
        <cusip>ACI0T8JS5</cusip>
        <identifiers>
          <isin value="XS1581283493"/>
        </identifiers>
        <balance>10500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>13346507.960000</valUSD>
        <pctVal>0.8613551</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FULL HOUSE RESORTS INC</name>
        <lei>5493009DKIWW0H901Y82</lei>
        <title>FULL HOUSE RESORTS INC 02/24 1</title>
        <cusip>359678AB5</cusip>
        <identifiers>
          <isin value="US359678AB57"/>
        </identifiers>
        <balance>67000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65944.450000</valUSD>
        <pctVal>0.0042559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>9.7375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FULL HOUSE RESORTS INC</name>
        <lei>5493009DKIWW0H901Y82</lei>
        <title>FULL HSE RESORTS INC 01/24 1</title>
        <cusip>359678AA7</cusip>
        <identifiers>
          <isin value="US359678AA74"/>
        </identifiers>
        <balance>786000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>773616.960000</valUSD>
        <pctVal>0.0499276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>9.13175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GAZPROM OAO VIA GPN CAPITAL SA</name>
        <lei>54930038HWNV6ZAAFY05</lei>
        <title>GAZPROM N (GPN CAPITAL) SR UNSECURED 144A 09/22 4.375</title>
        <cusip>36192NAA9</cusip>
        <identifiers>
          <isin value="US36192NAA90"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2078650.000000</valUSD>
        <pctVal>0.1341516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GAZPROM OAO VIA GPN CAPITAL SA</name>
        <lei>54930038HWNV6ZAAFY05</lei>
        <title>GAZPROM NEFT (GPN CAPITA SR UNSECURED 144A 11/23 6</title>
        <cusip>36192NAB7</cusip>
        <identifiers>
          <isin value="US36192NAB73"/>
        </identifiers>
        <balance>10300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11440467.500000</valUSD>
        <pctVal>0.7383433</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GAZPROM OAO VIA GPN CAPITAL SA</name>
        <lei>54930038HWNV6ZAAFY05</lei>
        <title>GAZPROM NEFT (GPN CAPITA SR UNSECURED REGS 11/23 6</title>
        <cusip>ACI079GD3</cusip>
        <identifiers>
          <isin value="XS0997544860"/>
        </identifiers>
        <balance>15100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16771947.500000</valUSD>
        <pctVal>1.0824256</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GC PASTOR HIPOTECARIO FTA 5</name>
        <lei>N/A</lei>
        <title>PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS</title>
        <cusip>997AAZII7</cusip>
        <identifiers>
          <isin value="ES0332235011"/>
        </identifiers>
        <balance>5114407.840000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>4890676.150000</valUSD>
        <pctVal>0.3156338</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GE CAPITAL INTERNATIONAL FUNDING COMPANY</name>
        <lei>549300G6UZOB126GBY72</lei>
        <title>GE CAPITAL INTL FUNDING COMPANY GUAR 11/35 4.418</title>
        <cusip>36164QNA2</cusip>
        <identifiers>
          <isin value="US36164QNA21"/>
        </identifiers>
        <balance>340000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357229.520000</valUSD>
        <pctVal>0.0230548</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.418</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GENERAL ELECTRIC COMPANY</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>GENERAL ELECTRIC CO JR SUBORDINA 12/49 VAR</title>
        <cusip>369604BQ5</cusip>
        <identifiers>
          <isin value="US369604BQ57"/>
        </identifiers>
        <balance>737000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>700348.990000</valUSD>
        <pctVal>0.0451990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GENERAL ELECTRIC COMPANY</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>GENERAL ELECTRIC CO SR UNSECURED 01/38 5.875</title>
        <cusip>36962G3P7</cusip>
        <identifiers>
          <isin value="US36962G3P70"/>
        </identifiers>
        <balance>46000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55342.640000</valUSD>
        <pctVal>0.0035717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GENERAL ELECTRIC COMPANY</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>GENERAL ELECTRIC CO SR UNSECURED 08/37 6.15</title>
        <cusip>36962G3A0</cusip>
        <identifiers>
          <isin value="US36962G3A02"/>
        </identifiers>
        <balance>235000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>289866.670000</valUSD>
        <pctVal>0.0187074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.15</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GENWORTH HOLDINGS INC</name>
        <lei>PXDECZED7L8SRUP41R09</lei>
        <title>GENWORTH HLDGS INC TERM LOAN</title>
        <cusip>37253LAD1</cusip>
        <identifiers>
          <isin value="US37253LAD10"/>
        </identifiers>
        <balance>49375.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49621.880000</valUSD>
        <pctVal>0.0032025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.6698</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLACIER FUNDING CDO III LTD 2005-3A</name>
        <lei>N/A</lei>
        <title>GLACIER FUNDING CDO GLCR 2005 3A A1 144A</title>
        <cusip>37638XAA7</cusip>
        <identifiers>
          <isin value="US37638XAA72"/>
        </identifiers>
        <balance>10274428.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2494312.750000</valUSD>
        <pctVal>0.1609776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.55675</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
        <title>GLOBAL PAYMENTS INC SR UNSECURED 08/29 3.2</title>
        <cusip>37940XAB8</cusip>
        <identifiers>
          <isin value="US37940XAB82"/>
        </identifiers>
        <balance>126000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127885.690000</valUSD>
        <pctVal>0.0082535</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
        <title>GLOBAL PAYMENTS INC SR UNSECURED 08/49 4.15</title>
        <cusip>37940XAC6</cusip>
        <identifiers>
          <isin value="US37940XAC65"/>
        </identifiers>
        <balance>63000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66343.180000</valUSD>
        <pctVal>0.0042816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.15</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMAC MORTGAGE CORPORATION LN TR 2007-HE2</name>
        <lei>N/A</lei>
        <title>GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6</title>
        <cusip>36186LAG8</cusip>
        <identifiers>
          <isin value="US36186LAG86"/>
        </identifiers>
        <balance>2572621.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2639475.190000</valUSD>
        <pctVal>0.1703461</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.749</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>GO DADDY OPERATING CO LLC / GD FINANCE CO INC</name>
        <lei>N/A</lei>
        <title>GO DADDY OPCO/FINCO COMPANY GUAR 144A 12/27 5.25</title>
        <cusip>38016LAA3</cusip>
        <identifiers>
          <isin value="US38016LAA35"/>
        </identifiers>
        <balance>64000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67520.000000</valUSD>
        <pctVal>0.0043576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREEN TREE FINANCIAL CORP 1999-3</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCIAL CORP GT 1999 3 A8</title>
        <cusip>393505X80</cusip>
        <identifiers>
          <isin value="US393505X804"/>
        </identifiers>
        <balance>3992245.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3971876.030000</valUSD>
        <pctVal>0.2563364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREEN TREE FINANCIAL CORP 1999-5</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCIAL CORP GT 1999 5 A6</title>
        <cusip>3935053Q3</cusip>
        <identifiers>
          <isin value="US3935053Q32"/>
        </identifiers>
        <balance>7685903.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5251108.880000</valUSD>
        <pctVal>0.3388953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR7</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32</title>
        <cusip>39538CAF9</cusip>
        <identifiers>
          <isin value="US39538CAF95"/>
        </identifiers>
        <balance>4554738.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4366221.510000</valUSD>
        <pctVal>0.2817866</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</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>GRIFONAS FINANCE NO.1 PLC GRIF-1</name>
        <lei>N/A</lei>
        <title>GRIFONAS FINANCE PLC GRIF 1 A REGS</title>
        <cusip>B1DFQWII3</cusip>
        <identifiers>
          <isin value="XS0262719320"/>
        </identifiers>
        <balance>9043779.620000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>9064046.170000</valUSD>
        <pctVal>0.5849742</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GROWTHPOINT PROPERTIES INTERNATIONAL (PTY) LTD</name>
        <lei>378900C761245FC57265</lei>
        <title>GROWTHPOINT PROPERTIES L COMPANY GUAR 144A 05/23 5.872</title>
        <cusip>40009VAA6</cusip>
        <identifiers>
          <isin value="US40009VAA61"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321183.300000</valUSD>
        <pctVal>0.0207285</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.872</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP II 2017-SLP</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP F 144A</title>
        <cusip>36255MAQ0</cusip>
        <identifiers>
          <isin value="US36255MAQ06"/>
        </identifiers>
        <balance>10000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9927500.000000</valUSD>
        <pctVal>0.6406996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.74434</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP II 2017-SLP</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP G 144A</title>
        <cusip>36255MAS6</cusip>
        <identifiers>
          <isin value="US36255MAS61"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1628019.110000</valUSD>
        <pctVal>0.1050689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.74434</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2004-AR1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2004 AR1 M4</title>
        <cusip>36228F6S0</cusip>
        <identifiers>
          <isin value="US36228F6S07"/>
        </identifiers>
        <balance>1252520.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1226492.310000</valUSD>
        <pctVal>0.0791552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.89338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1</title>
        <cusip>362341WX3</cusip>
        <identifiers>
          <isin value="US362341WX31"/>
        </identifiers>
        <balance>182544.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146128.880000</valUSD>
        <pctVal>0.0094308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.26744</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2006-7F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1</title>
        <cusip>36298NAY0</cusip>
        <identifiers>
          <isin value="US36298NAY04"/>
        </identifiers>
        <balance>834178.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>511416.810000</valUSD>
        <pctVal>0.0330057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-9</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2</title>
        <cusip>41161PSW4</cusip>
        <identifiers>
          <isin value="US41161PSW40"/>
        </identifiers>
        <balance>8345904.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8355785.630000</valUSD>
        <pctVal>0.5392645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-9</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4</title>
        <cusip>41161PSY0</cusip>
        <identifiers>
          <isin value="US41161PSY06"/>
        </identifiers>
        <balance>1926148.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1842089.950000</valUSD>
        <pctVal>0.1188845</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.94425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A</title>
        <cusip>41161PA86</cusip>
        <identifiers>
          <isin value="US41161PA868"/>
        </identifiers>
        <balance>12115048.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11660981.510000</valUSD>
        <pctVal>0.7525748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.297</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2005-16</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A</title>
        <cusip>41161PYZ0</cusip>
        <identifiers>
          <isin value="US41161PYZ07"/>
        </identifiers>
        <balance>6909642.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5533323.500000</valUSD>
        <pctVal>0.3571089</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.557</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>HILTON DOMESTIC OPERATING COMPANY INC</name>
        <lei>5493003EG7H0N1E4XV50</lei>
        <title>HILTON DOMESTIC OPERATIN COMPANY GUAR 144A 01/30 4.875</title>
        <cusip>432833AE1</cusip>
        <identifiers>
          <isin value="US432833AE10"/>
        </identifiers>
        <balance>76000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80434.600000</valUSD>
        <pctVal>0.0051911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HIPOCAT FTA 10</name>
        <lei>N/A</lei>
        <title>HIPOCAT HIPO HIPO 10 A2 REGS</title>
        <cusip>990VWFII8</cusip>
        <identifiers>
          <isin value="ES0345671012"/>
        </identifiers>
        <balance>4573129.500000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>4941004.360000</valUSD>
        <pctVal>0.3188819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HIPOCAT-HIP0-11</name>
        <lei>N/A</lei>
        <title>HIPOCAT HIPO HIPO 11 A2 REGS</title>
        <cusip>ACI02GUS3</cusip>
        <identifiers>
          <isin value="ES0345672010"/>
        </identifiers>
        <balance>5114549.330000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>5236784.240000</valUSD>
        <pctVal>0.3379709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HIPOCAT-HIP0-11</name>
        <lei>N/A</lei>
        <title>HIPOCAT HIPO HIPO 11 A3 REGS</title>
        <cusip>ACI062FW8</cusip>
        <identifiers>
          <isin value="ES0345672028"/>
        </identifiers>
        <balance>317583.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>342465.460000</valUSD>
        <pctVal>0.0221020</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HORIZON PHARMA USA INC</name>
        <lei>N/A</lei>
        <title>HORIZON PHARMA USA INC COMPANY GUAR 144A 08/27 5.5</title>
        <cusip>44055PAA4</cusip>
        <identifiers>
          <isin value="US44055PAA49"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>208500.000000</valUSD>
        <pctVal>0.0134561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOUT BAY 2006-1</name>
        <lei>N/A</lei>
        <title>HOUT BAY HOUT 2006 1A A1 144A</title>
        <cusip>442451AA8</cusip>
        <identifiers>
          <isin value="US442451AA89"/>
        </identifiers>
        <balance>34495982.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8882715.470000</valUSD>
        <pctVal>0.5732715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31688</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC BANK PLC</name>
        <lei>MP6I5ZYZBEU3UXPYFY54</lei>
        <title>HSBC BANK 05/23 0</title>
        <cusip>ACI16FNH1</cusip>
        <identifiers>
          <isin value="XS1891722222"/>
        </identifiers>
        <balance>24300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25529194.360000</valUSD>
        <pctVal>1.6475996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.37375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>404280BP3</cusip>
        <identifiers>
          <isin value="US404280BP39"/>
        </identifiers>
        <balance>1220000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1277157.000000</valUSD>
        <pctVal>0.0824250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC Holdings Plc</name>
              <title>HSBC Holdings Plc</title>
              <curCd>USD</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="370.37" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>BFM4XMII1</cusip>
        <identifiers>
          <isin value="XS1884698256"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1302078.180000</valUSD>
        <pctVal>0.0840333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC Holdings plc</name>
              <title>HSBC Holdings plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="370.37" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0H2TW1</cusip>
        <identifiers>
          <isin value="XS1298431104"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>248359.130000</valUSD>
        <pctVal>0.0160286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC Holdings Plc</name>
              <title>HSBC Holdings Plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="370.37" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HUNT COMPANIES INC</name>
        <lei>549300ODPWDNCH5TKM49</lei>
        <title>HUNT COS INC SR SECURED 144A 02/26 6.25</title>
        <cusip>445587AC2</cusip>
        <identifiers>
          <isin value="US445587AC20"/>
        </identifiers>
        <balance>60000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58950.000000</valUSD>
        <pctVal>0.0038045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HYUNDAI AUTO RECEIVABLES TRUST 2016-A</name>
        <lei>N/A</lei>
        <title>HYUNDAI AUTO RECEIVABLES TRUST HART 2016 A R 44930U9A6</title>
        <cusip>932XDGII4</cusip>
        <identifiers>
          <ticker value="HART"/>
        </identifiers>
        <balance>7500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5901988.650000</valUSD>
        <pctVal>0.3809017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHEARTCOMMUNICATIONS INC</name>
        <lei>54930076J6KDZL504O62</lei>
        <title>IHEARTCOMMUNICATIONS  INC. EXIT TERM LOAN</title>
        <cusip>45175AAB7</cusip>
        <identifiers>
          <isin value="US45175AAB70"/>
        </identifiers>
        <balance>12178857.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12273998.970000</valUSD>
        <pctVal>0.7921377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHEARTCOMMUNICATIONS INC</name>
        <lei>54930076J6KDZL504O62</lei>
        <title>IHEARTCOMMUNICATIONS INC COMPANY GUAR 05/27 8.375</title>
        <cusip>45174HBD8</cusip>
        <identifiers>
          <isin value="US45174HBD89"/>
        </identifiers>
        <balance>5826807.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6322085.600000</valUSD>
        <pctVal>0.4080139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHEARTCOMMUNICATIONS INC</name>
        <lei>54930076J6KDZL504O62</lei>
        <title>IHEARTCOMMUNICATIONS INC SR SECURED 05/26 6.375</title>
        <cusip>45174HBC0</cusip>
        <identifiers>
          <isin value="US45174HBC07"/>
        </identifiers>
        <balance>3277785.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3556396.730000</valUSD>
        <pctVal>0.2295222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 04/35 FIXED 6.725</title>
        <cusip>452152FA4</cusip>
        <identifiers>
          <isin value="US452152FA44"/>
        </identifiers>
        <balance>70000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82107.200000</valUSD>
        <pctVal>0.0052990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.725</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 06/33 FIXED 5.1</title>
        <cusip>452151LF8</cusip>
        <identifiers>
          <isin value="US452151LF83"/>
        </identifiers>
        <balance>580000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>628720.000000</valUSD>
        <pctVal>0.0405762</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 07/35 FIXED 7.35</title>
        <cusip>452152GS4</cusip>
        <identifiers>
          <isin value="US452152GS43"/>
        </identifiers>
        <balance>50000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60996.500000</valUSD>
        <pctVal>0.0039366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IM PASTOR FTH 3</name>
        <lei>N/A</lei>
        <title>PASTOR IM FTH/FTA IMPAS 3 A REGS</title>
        <cusip>B0BL9JII2</cusip>
        <identifiers>
          <isin value="ES0347862007"/>
        </identifiers>
        <balance>1739984.920000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1721772.860000</valUSD>
        <pctVal>0.1111195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPAC CMB TR 2004-8</name>
        <lei>N/A</lei>
        <title>IMPAC CMB TRUST IMM 2004 8 1A</title>
        <cusip>45254NKQ9</cusip>
        <identifiers>
          <isin value="US45254NKQ96"/>
        </identifiers>
        <balance>220202.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221116.520000</valUSD>
        <pctVal>0.0142704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.73838</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>IMPAC SECURED ASSETS CORP. 2007-2</name>
        <lei>N/A</lei>
        <title>IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A</title>
        <cusip>452570AA2</cusip>
        <identifiers>
          <isin value="US452570AA27"/>
        </identifiers>
        <balance>7210.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6257.990000</valUSD>
        <pctVal>0.0004039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.12838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC HM EQ LN ASSET BACKED TR 2000-C</name>
        <lei>N/A</lei>
        <title>INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1</title>
        <cusip>456606BJ0</cusip>
        <identifiers>
          <isin value="US456606BJ00"/>
        </identifiers>
        <balance>573191.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>223938.190000</valUSD>
        <pctVal>0.0144525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.19624</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC IMSC MTGE LN TRUST 2007-AR1</name>
        <lei>N/A</lei>
        <title>INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1</title>
        <cusip>456672AC8</cusip>
        <identifiers>
          <isin value="US456672AC80"/>
        </identifiers>
        <balance>4063969.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3467805.310000</valUSD>
        <pctVal>0.2238047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.74194</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDA MORTGAGE LOAN TR 2007-AR1</name>
        <lei>N/A</lei>
        <title>INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1</title>
        <cusip>45669AAG9</cusip>
        <identifiers>
          <isin value="US45669AAG94"/>
        </identifiers>
        <balance>33017.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31876.610000</valUSD>
        <pctVal>0.0020572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.48091</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2004-AR15</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1</title>
        <cusip>45660LBE8</cusip>
        <identifiers>
          <isin value="US45660LBE83"/>
        </identifiers>
        <balance>315434.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>305378.070000</valUSD>
        <pctVal>0.0197084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.86481</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2006-AR13</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2</title>
        <cusip>45661XAB8</cusip>
        <identifiers>
          <isin value="US45661XAB82"/>
        </identifiers>
        <balance>529329.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>439258.280000</valUSD>
        <pctVal>0.0283488</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2006-AR14</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A</title>
        <cusip>45668GAD4</cusip>
        <identifiers>
          <isin value="US45668GAD43"/>
        </identifiers>
        <balance>6071374.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5768981.930000</valUSD>
        <pctVal>0.3723178</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2007-FLX1</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3</title>
        <cusip>45668WAC1</cusip>
        <identifiers>
          <isin value="US45668WAC10"/>
        </identifiers>
        <balance>3725512.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2827010.180000</valUSD>
        <pctVal>0.1824492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING GROEP NV JR SUBORDINA VAR</title>
        <cusip>456837AR4</cusip>
        <identifiers>
          <isin value="US456837AR44"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1007875.000000</valUSD>
        <pctVal>0.0650461</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ING GROEP NV</name>
              <title>ING GROEP NV</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="NL0011821202"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INMARSAT (CONNECT FINCO SARL/CONNECT US FINCO LLC)</name>
        <lei>N/A</lei>
        <title>CONNECT FINCO SARL/CONNE 10/26 6.75</title>
        <cusip>20752TAA2</cusip>
        <identifiers>
          <isin value="US20752TAA25"/>
        </identifiers>
        <balance>144000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146880.000000</valUSD>
        <pctVal>0.0094793</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INSTALLED BUILDING PRODUCTS INC</name>
        <lei>549300I95Y9P9YM5FI86</lei>
        <title>INSTALLED BUILDING PRODU COMPANY GUAR 144A 02/28 5.75</title>
        <cusip>45780RAA9</cusip>
        <identifiers>
          <isin value="US45780RAA95"/>
        </identifiers>
        <balance>126000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130252.500000</valUSD>
        <pctVal>0.0084062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT (LUXEMBOURG) SA</name>
        <lei>54930027UF5LR7S2XC75</lei>
        <title>INTELSAT LUXEMBOURG SA COMPANY GUAR 06/21 7.75</title>
        <cusip>458204AP9</cusip>
        <identifiers>
          <isin value="US458204AP96"/>
        </identifiers>
        <balance>20614000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19686370.000000</valUSD>
        <pctVal>1.2705162</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT (LUXEMBOURG) SA</name>
        <lei>54930027UF5LR7S2XC75</lei>
        <title>INTELSAT LUXEMBOURG SA COMPANY GUAR 06/23 8.125</title>
        <cusip>458204AQ7</cusip>
        <identifiers>
          <isin value="US458204AQ79"/>
        </identifiers>
        <balance>8785000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7354714.150000</valUSD>
        <pctVal>0.4746575</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT CONNECT FINANCE SA</name>
        <lei>549300T8SOCBO2H77X11</lei>
        <title>INTELSAT CONNECT FINANCE COMPANY GUAR 144A 02/23 9.5</title>
        <cusip>45827AAD5</cusip>
        <identifiers>
          <isin value="US45827AAD54"/>
        </identifiers>
        <balance>434000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>403485.460000</valUSD>
        <pctVal>0.0260401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>INTELSAT JACKSON HLDG COMPANY GUAR 08/23 5.5</title>
        <cusip>45824TAP0</cusip>
        <identifiers>
          <isin value="US45824TAP03"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1406850.000000</valUSD>
        <pctVal>0.0907951</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>INTELSAT JACKSON HLDG COMPANY GUAR 144A 07/25 9.75</title>
        <cusip>45824TAY1</cusip>
        <identifiers>
          <isin value="US45824TAY10"/>
        </identifiers>
        <balance>639000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>670630.500000</valUSD>
        <pctVal>0.0432811</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>INTELSAT JACKSON HLDG COMPANY GUAR 144A 10/24 8.5</title>
        <cusip>45824TBA2</cusip>
        <identifiers>
          <isin value="US45824TBA25"/>
        </identifiers>
        <balance>3377000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3409723.130000</valUSD>
        <pctVal>0.2200562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>INTELSAT JACKSON HLDG SR SECURED 144A 02/24 8</title>
        <cusip>45824TAR6</cusip>
        <identifiers>
          <isin value="US45824TAR68"/>
        </identifiers>
        <balance>295000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>307168.750000</valUSD>
        <pctVal>0.0198240</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>INTELSAT JACKSON HLDGS S A TERM LOAN B 3</title>
        <cusip>L5137LAF2</cusip>
        <identifiers>
          <isin value="XAL5137LAF21"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200600.000000</valUSD>
        <pctVal>0.0129463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.8036</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTERNET BRANDS INC (MH SUB I LLC)</name>
        <lei>N/A</lei>
        <title>MH SUB I LLC AMENDMENT NO. 2 INITIAL TERM</title>
        <cusip>45567YAJ4</cusip>
        <identifiers>
          <isin value="US45567YAJ47"/>
        </identifiers>
        <balance>264600.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>263111.630000</valUSD>
        <pctVal>0.0169807</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7</title>
        <cusip>466285AR4</cusip>
        <identifiers>
          <isin value="US466285AR40"/>
        </identifiers>
        <balance>695646.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>667309.750000</valUSD>
        <pctVal>0.0430667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.83516</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2006-S4</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4</title>
        <cusip>466302AG1</cusip>
        <identifiers>
          <isin value="US466302AG18"/>
        </identifiers>
        <balance>7979571.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7916461.440000</valUSD>
        <pctVal>0.5109115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.96</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2007-A2</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1</title>
        <cusip>466278AC2</cusip>
        <identifiers>
          <isin value="US466278AC20"/>
        </identifiers>
        <balance>30572139.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16609128.250000</valUSD>
        <pctVal>1.0719176</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2005-CB13</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2005 CB13 AJ</title>
        <cusip>46625YVZ3</cusip>
        <identifiers>
          <isin value="US46625YVZ32"/>
        </identifiers>
        <balance>467652.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>468274.300000</valUSD>
        <pctVal>0.0302214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-12</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.92702</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2012-CBX</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2012 CBX XA</title>
        <cusip>46637WAE3</cusip>
        <identifiers>
          <isin value="US46637WAE30"/>
        </identifiers>
        <balance>40830185.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1051512.020000</valUSD>
        <pctVal>0.0678623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.65021</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1</title>
        <cusip>46628BBC3</cusip>
        <identifiers>
          <isin value="US46628BBC37"/>
        </identifiers>
        <balance>779676.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>695411.490000</valUSD>
        <pctVal>0.0448804</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.00871</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-A4</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1</title>
        <cusip>46631JAA6</cusip>
        <identifiers>
          <isin value="US46631JAA60"/>
        </identifiers>
        <balance>3785322.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3546984.520000</valUSD>
        <pctVal>0.2289148</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.2374</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGGE ACQUIS CORP 2005-OPT2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M4</title>
        <cusip>46626LEP1</cusip>
        <identifiers>
          <isin value="US46626LEP13"/>
        </identifiers>
        <balance>16459000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16196062.540000</valUSD>
        <pctVal>1.0452593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.63838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KENNEDY-WILSON INC</name>
        <lei>5EA4464UK7FM5QNNKL62</lei>
        <title>KENNEDY WILSON INC COMPANY GUAR 04/24 5.875</title>
        <cusip>489399AG0</cusip>
        <identifiers>
          <isin value="US489399AG06"/>
        </identifiers>
        <balance>162000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167012.280000</valUSD>
        <pctVal>0.0107786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KGS-ALPHA SBA COOF TRUST SERIES 2012-5</name>
        <lei>N/A</lei>
        <title>KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A</title>
        <cusip>48248JAA7</cusip>
        <identifiers>
          <isin value="US48248JAA79"/>
        </identifiers>
        <balance>1778101.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41118.590000</valUSD>
        <pctVal>0.0026537</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.10623</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LAVENDER TRUST 2010-RR1A</name>
        <lei>N/A</lei>
        <title>LAVENDER TRUST LTS 2010 RR1A A4 144A</title>
        <cusip>519440DG3</cusip>
        <identifiers>
          <isin value="US519440DG30"/>
        </identifiers>
        <balance>12084975.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12416442.190000</valUSD>
        <pctVal>0.8013306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LB-UBS COMMERCIAL MORTGAGE TRU-2005-C1</name>
        <lei>N/A</lei>
        <title>LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2005 C1 H 144A</title>
        <cusip>52108HZ64</cusip>
        <identifiers>
          <isin value="US52108HZ646"/>
        </identifiers>
        <balance>2441441.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2444626.660000</valUSD>
        <pctVal>0.1577710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.98051</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LB-UBS COMMERCIAL MORTGAGE TRUST 2007-C2</name>
        <lei>N/A</lei>
        <title>LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2007 C2 XCL 144A</title>
        <cusip>50180JAQ8</cusip>
        <identifiers>
          <isin value="US50180JAQ85"/>
        </identifiers>
        <balance>5160929.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266.300000</valUSD>
        <pctVal>0.0000172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.355145</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2006-4</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2006 4 1A1</title>
        <cusip>52520RAA0</cusip>
        <identifiers>
          <isin value="US52520RAA05"/>
        </identifiers>
        <balance>977071.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>946255.990000</valUSD>
        <pctVal>0.0610693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2006 5 1A12</title>
        <cusip>52520TAM0</cusip>
        <identifiers>
          <isin value="US52520TAM09"/>
        </identifiers>
        <balance>596456.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>520542.520000</valUSD>
        <pctVal>0.0335947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2007-8</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2007 8 2A1</title>
        <cusip>52521YAC0</cusip>
        <identifiers>
          <isin value="US52521YAC03"/>
        </identifiers>
        <balance>3708265.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2150796.870000</valUSD>
        <pctVal>0.1388078</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2007-8</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2007 8 3A1</title>
        <cusip>52521YAL0</cusip>
        <identifiers>
          <isin value="US52521YAL02"/>
        </identifiers>
        <balance>31609386.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13059658.350000</valUSD>
        <pctVal>0.8428424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-11</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 11 2A4</title>
        <cusip>52522WAH2</cusip>
        <identifiers>
          <isin value="US52522WAH25"/>
        </identifiers>
        <balance>1855830.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1857255.460000</valUSD>
        <pctVal>0.1198633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-24</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.17</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2007-10H</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 10H 1A3</title>
        <cusip>525237AC7</cusip>
        <identifiers>
          <isin value="US525237AC72"/>
        </identifiers>
        <balance>23950552.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18402165.400000</valUSD>
        <pctVal>1.1876364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2007-14H</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 14H A12</title>
        <cusip>52525LAR1</cusip>
        <identifiers>
          <isin value="US52525LAR15"/>
        </identifiers>
        <balance>3529595.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3121350.780000</valUSD>
        <pctVal>0.2014453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.51838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>539439AU3</cusip>
        <identifiers>
          <isin value="US539439AU36"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1600657.500000</valUSD>
        <pctVal>0.1033030</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Lloyds Banking Group plc</name>
              <title>Lloyds Banking Group plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="0" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0808F5</cusip>
        <identifiers>
          <isin value="XS1043552188"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2279803.790000</valUSD>
        <pctVal>0.1471337</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>LLOYDS BANKING GROUP PLC</name>
              <title>LLOYDS BANKING GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="1555.21" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0808H1</cusip>
        <identifiers>
          <isin value="XS1043552261"/>
        </identifiers>
        <balance>14473000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>20913891.270000</valUSD>
        <pctVal>1.3497378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>LLOYDS BANKING GROUP PLC</name>
              <title>LLOYDS BANKING GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="1555.21" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LOANCORE CAPITAL MARKETS LLC / JLC FINANCE CORP</name>
        <lei>N/A</lei>
        <title>LOANCORE CAP/JLC FIN COR SR UNSECURED 144A 06/20 6.875</title>
        <cusip>47233GAA2</cusip>
        <identifiers>
          <isin value="US47233GAA22"/>
        </identifiers>
        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3754875.000000</valUSD>
        <pctVal>0.2423316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2005-WL1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4</title>
        <cusip>542514LL6</cusip>
        <identifiers>
          <isin value="US542514LL69"/>
        </identifiers>
        <balance>32300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32439087.030000</valUSD>
        <pctVal>2.0935493</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.06838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2005-WL3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2</title>
        <cusip>542514PS7</cusip>
        <identifiers>
          <isin value="US542514PS76"/>
        </identifiers>
        <balance>16158906.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13757266.230000</valUSD>
        <pctVal>0.8878646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.72338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2006-1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3</title>
        <cusip>542514RL0</cusip>
        <identifiers>
          <isin value="US542514RL06"/>
        </identifiers>
        <balance>10171894.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8675410.860000</valUSD>
        <pctVal>0.5598925</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2005-3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A</title>
        <cusip>542514NT7</cusip>
        <identifiers>
          <isin value="US542514NT77"/>
        </identifiers>
        <balance>27633400.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27147080.350000</valUSD>
        <pctVal>1.7520145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 1 M3</title>
        <cusip>542514EW0</cusip>
        <identifiers>
          <isin value="US542514EW08"/>
        </identifiers>
        <balance>120975.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120981.190000</valUSD>
        <pctVal>0.0078079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.06838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALLINCKRODT INTERNATIONAL FINANCE SA / MALLINCKRODT CB LLC</name>
        <lei>N/A</lei>
        <title>MALLINCKRODT FIN/SB COMPANY GUAR 144A 04/25 5.5</title>
        <cusip>561233AC1</cusip>
        <identifiers>
          <isin value="US561233AC14"/>
        </identifiers>
        <balance>318000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95495.400000</valUSD>
        <pctVal>0.0061631</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARLETTE FUNDING TRUST 2019-3</name>
        <lei>N/A</lei>
        <title>MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A</title>
        <cusip>57109M101</cusip>
        <identifiers>
          <isin value="US57109M1018"/>
        </identifiers>
        <balance>12129.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5174392.360000</valUSD>
        <pctVal>0.3339442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARRIOTT OWNERSHIP RESORTS INC</name>
        <lei>BW4532OH033VURR0IT68</lei>
        <title>MARRIOTT OWNERSHIP RESOR COMPANY GUAR 144A 01/28 4.75</title>
        <cusip>57164PAD8</cusip>
        <identifiers>
          <isin value="US57164PAD87"/>
        </identifiers>
        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62775.000000</valUSD>
        <pctVal>0.0040514</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ALT LN TR 2006-2</name>
        <lei>N/A</lei>
        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1</title>
        <cusip>5764342H6</cusip>
        <identifiers>
          <isin value="US5764342H69"/>
        </identifiers>
        <balance>26692599.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4872229.560000</valUSD>
        <pctVal>0.3144433</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.41838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ALT LN TR 2006-2</name>
        <lei>N/A</lei>
        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3</title>
        <cusip>5764342K9</cusip>
        <identifiers>
          <isin value="US5764342K98"/>
        </identifiers>
        <balance>20194530.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3626701.340000</valUSD>
        <pctVal>0.2340596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-FRE2</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4</title>
        <cusip>57643GAD9</cusip>
        <identifiers>
          <isin value="US57643GAD97"/>
        </identifiers>
        <balance>7869846.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5815228.160000</valUSD>
        <pctVal>0.3753024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.16838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-NC1</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1</title>
        <cusip>57643LNG7</cusip>
        <identifiers>
          <isin value="US57643LNG76"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>396322.400000</valUSD>
        <pctVal>0.0255778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.58838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET SECURIZATION TR 2007-3</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 12A1</title>
        <cusip>57645NAC4</cusip>
        <identifiers>
          <isin value="US57645NAC48"/>
        </identifiers>
        <balance>16156678.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17875207.710000</valUSD>
        <pctVal>1.1536277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET SECURIZATION TR 2007-3</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5</title>
        <cusip>57645NAT7</cusip>
        <identifiers>
          <isin value="US57645NAT72"/>
        </identifiers>
        <balance>4247189.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4639328.880000</valUSD>
        <pctVal>0.2994124</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69838</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>MCDERMOTT TECHNOLOGY (AMERICAS) INC</name>
        <lei>549300MSF84ZAB7RHN59</lei>
        <title>MCDERMOTT TECHNOLOGY (AMERICAS TERM LOAN</title>
        <cusip>58004GAB4</cusip>
        <identifiers>
          <isin value="US58004GAB41"/>
        </identifiers>
        <balance>5591550.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3575483.560000</valUSD>
        <pctVal>0.2307541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.1044</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MELCO RESORTS FINANCE LIMITED</name>
        <lei>N/A</lei>
        <title>MELCO RESORTS FINANCE SR UNSECURED 144A 07/27 5.625</title>
        <cusip>58547DAC3</cusip>
        <identifiers>
          <isin value="US58547DAC39"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>416140.260000</valUSD>
        <pctVal>0.0268568</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MTGE INVESTORS 2006-A3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A</title>
        <cusip>59023CAA0</cusip>
        <identifiers>
          <isin value="US59023CAA09"/>
        </identifiers>
        <balance>4830958.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4725853.440000</valUSD>
        <pctVal>0.3049965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.54241</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>MESSER INDUSTRIES USA INC</name>
        <lei>529900HNC1EZT3TC1260</lei>
        <title>MESSER INDS GMBH TERM LOAN B 1</title>
        <cusip>D6000EAB8</cusip>
        <identifiers>
          <isin value="XAD6000EAB83"/>
        </identifiers>
        <balance>282490.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282166.500000</valUSD>
        <pctVal>0.0182104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.6044</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MICRON TECHNOLOGY INC</name>
        <lei>B3DXGBC8GAIYWI2Z0172</lei>
        <title>MICRON TECHNOLOGY INC SR UNSECURED 02/29 5.327</title>
        <cusip>595112BN2</cusip>
        <identifiers>
          <isin value="US595112BN22"/>
        </identifiers>
        <balance>420000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>462177.720000</valUSD>
        <pctVal>0.0298280</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.327</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MID-STATE TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>MID STATE TRUST MDST 2006 1 M2 144A</title>
        <cusip>59548PAC3</cusip>
        <identifiers>
          <isin value="US59548PAC32"/>
        </identifiers>
        <balance>5089067.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5853955.800000</valUSD>
        <pctVal>0.3778018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.742</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-WMC1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4</title>
        <cusip>61744CLX2</cusip>
        <identifiers>
          <isin value="US61744CLX29"/>
        </identifiers>
        <balance>1951221.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1237633.810000</valUSD>
        <pctVal>0.0798742</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.05338</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B</title>
        <cusip>617526AD0</cusip>
        <identifiers>
          <isin value="US617526AD01"/>
        </identifiers>
        <balance>1669835.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1162272.590000</valUSD>
        <pctVal>0.0750106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.11838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-NC2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D</title>
        <cusip>61753NAF7</cusip>
        <identifiers>
          <isin value="US61753NAF78"/>
        </identifiers>
        <balance>5854124.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3589257.480000</valUSD>
        <pctVal>0.2316430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY HOME EQUITY LN 2007-2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3</title>
        <cusip>61752UAC9</cusip>
        <identifiers>
          <isin value="US61752UAC99"/>
        </identifiers>
        <balance>29712086.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20116476.260000</valUSD>
        <pctVal>1.2982744</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.24838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2009-R2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A</title>
        <cusip>61758MAD9</cusip>
        <identifiers>
          <isin value="US61758MAD92"/>
        </identifiers>
        <balance>7969245.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9021641.720000</valUSD>
        <pctVal>0.5822375</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2010-R1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A</title>
        <cusip>61758QAQ1</cusip>
        <identifiers>
          <isin value="US61758QAQ10"/>
        </identifiers>
        <balance>21445410.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21516030.570000</valUSD>
        <pctVal>1.3885986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.57672</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2010-R2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A</title>
        <cusip>61758VAL1</cusip>
        <identifiers>
          <isin value="US61758VAL18"/>
        </identifiers>
        <balance>2949738.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3048856.700000</valUSD>
        <pctVal>0.1967667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.63459</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2010-R5</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 1B 144A</title>
        <cusip>61759HAX5</cusip>
        <identifiers>
          <isin value="US61759HAX52"/>
        </identifiers>
        <balance>5453283.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5453961.290000</valUSD>
        <pctVal>0.3519870</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.08357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2010-R6</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2010 R6 1B 144A</title>
        <cusip>61759NAS3</cusip>
        <identifiers>
          <isin value="US61759NAS36"/>
        </identifiers>
        <balance>3118584.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3227494.350000</valUSD>
        <pctVal>0.2082956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.08357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORTGAGE EQUITY CONVER ASSET TR 2010-1A</name>
        <lei>N/A</lei>
        <title>MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A</title>
        <cusip>61911BAA3</cusip>
        <identifiers>
          <isin value="US61911BAA35"/>
        </identifiers>
        <balance>2028432.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1969566.410000</valUSD>
        <pctVal>0.1271116</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MOTEL 6 TRUST 2017-M6MZ</name>
        <lei>N/A</lei>
        <title>MOTEL 6 TRUST MOTEL 2017 M6MZ M 144A</title>
        <cusip>61975GAA5</cusip>
        <identifiers>
          <isin value="US61975GAA58"/>
        </identifiers>
        <balance>16128694.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16422698.350000</valUSD>
        <pctVal>1.0598859</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.954</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NASCAR HOLDINGS LLC (AKA: NASCAR HOLDINGS INC)</name>
        <lei>549300XWV2JTQZZOV244</lei>
        <title>NASCAR HOLDINGS INC TERM LOAN B</title>
        <cusip>935XMEII6</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL2999714"/>
        </identifiers>
        <balance>224000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>225872.420000</valUSD>
        <pctVal>0.0145773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.27475</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5</name>
        <lei>N/A</lei>
        <title>NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A</title>
        <cusip>63546CAA0</cusip>
        <identifiers>
          <isin value="US63546CAA09"/>
        </identifiers>
        <balance>11600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4639704.200000</valUSD>
        <pctVal>0.2994366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6</name>
        <lei>N/A</lei>
        <title>NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A</title>
        <cusip>63546EAA6</cusip>
        <identifiers>
          <isin value="US63546EAA64"/>
        </identifiers>
        <balance>11700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4717892.790000</valUSD>
        <pctVal>0.3044827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6</name>
        <lei>N/A</lei>
        <title>NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A</title>
        <cusip>63546GAA1</cusip>
        <identifiers>
          <isin value="US63546GAA13"/>
        </identifiers>
        <balance>14500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5820843.750000</valUSD>
        <pctVal>0.3756648</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONSTAR MORTGAGE LLC / NATIONSTAR CAPITAL CORP</name>
        <lei>N/A</lei>
        <title>NATIONSTAR MORT/CAP CORP COMPANY GUAR 07/21 6.5</title>
        <cusip>63860UAK6</cusip>
        <identifiers>
          <isin value="US63860UAK60"/>
        </identifiers>
        <balance>1932000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1941660.000000</valUSD>
        <pctVal>0.1253106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR</title>
        <cusip>ACI07BWB4</cusip>
        <identifiers>
          <isin value="GB00BBQ33664"/>
        </identifiers>
        <balance>124916.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>24113693.980000</valUSD>
        <pctVal>1.5562463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-31</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>10.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH</name>
        <lei>N/A</lei>
        <title>NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH F 144A</title>
        <cusip>63874LAS3</cusip>
        <identifiers>
          <isin value="US63874LAS34"/>
        </identifiers>
        <balance>1280360.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1271811.800000</valUSD>
        <pctVal>0.0820800</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.0275</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-TECH</name>
        <lei>N/A</lei>
        <title>NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 TECH G 144A</title>
        <cusip>63874LAU8</cusip>
        <identifiers>
          <isin value="US63874LAU89"/>
        </identifiers>
        <balance>555230.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545647.560000</valUSD>
        <pctVal>0.0352149</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0275</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT CORPORATION</name>
        <lei>54930067J0ZNOEBRW338</lei>
        <title>NAVIENT CORP SR UNSECURED 06/22 6.5</title>
        <cusip>63938CAF5</cusip>
        <identifiers>
          <isin value="US63938CAF59"/>
        </identifiers>
        <balance>1784000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1904420.000000</valUSD>
        <pctVal>0.1229072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NBTY INC (ALPHABET HOLDING CO INC)</name>
        <lei>5493000J3OND4HN47659</lei>
        <title>CLOVER MERGER SUB INC INITIAL TERM LOAN</title>
        <cusip>18913EAB3</cusip>
        <identifiers>
          <isin value="US18913EAB39"/>
        </identifiers>
        <balance>294000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>272960.770000</valUSD>
        <pctVal>0.0176163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.5435</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NCR CORPORATION</name>
        <lei>549300YKTY8JX1DV2R67</lei>
        <title>NCR CORP COMPANY GUAR 144A 09/27 5.75</title>
        <cusip>62886EAU2</cusip>
        <identifiers>
          <isin value="US62886EAU29"/>
        </identifiers>
        <balance>71000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73751.250000</valUSD>
        <pctVal>0.0047597</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NCR CORPORATION</name>
        <lei>549300YKTY8JX1DV2R67</lei>
        <title>NCR CORP COMPANY GUAR 144A 09/29 6.125</title>
        <cusip>62886EAV0</cusip>
        <identifiers>
          <isin value="US62886EAV02"/>
        </identifiers>
        <balance>40000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42312.000000</valUSD>
        <pctVal>0.0027307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEIMAN MARCUS GROUP LTD LLC</name>
        <lei>549300VXED5TMJSBCI17</lei>
        <title>NEIMAN MARCUS GROUP LTD INC TERM LOAN</title>
        <cusip>64021SAE9</cusip>
        <identifiers>
          <isin value="US64021SAE90"/>
        </identifiers>
        <balance>18555549.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14183398.290000</valUSD>
        <pctVal>0.9153662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.5572</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEIMAN MARCUS GROUP LTD LLC</name>
        <lei>549300VXED5TMJSBCI17</lei>
        <title>NEIMAN MARCUS GROUP LTD LLC CASH PAY EXTENDED TERM LOAN</title>
        <cusip>64021SAD1</cusip>
        <identifiers>
          <isin value="US64021SAD18"/>
        </identifiers>
        <balance>28726864.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22155594.590000</valUSD>
        <pctVal>1.4298747</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.0573</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)</name>
        <lei>254900CHQOBZNYV4DY60</lei>
        <title>SUNSHINE LUXEMBOURG VII SARL TERM LOAN</title>
        <cusip>935WZTII1</cusip>
        <identifiers>
          <isin value="XAL8908YAB47"/>
        </identifiers>
        <balance>675000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>678691.580000</valUSD>
        <pctVal>0.0438013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.59313</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)</name>
        <lei>254900CHQOBZNYV4DY60</lei>
        <title>SUNSHINE LUXMBURG VII SARL EUR TERM LOAN B</title>
        <cusip>964YXQII9</cusip>
        <identifiers>
          <isin value="XAL8908YAC20"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1099876.510000</valUSD>
        <pctVal>0.0709837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NETFLIX INC</name>
        <lei>549300Y7VHGU0I7CE873</lei>
        <title>NETFLIX INC SR UNSECURED 144A 05/29 4.625</title>
        <cusip>BFY25CII5</cusip>
        <identifiers>
          <isin value="XS1900563252"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>850411.730000</valUSD>
        <pctVal>0.0548838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEXGEN POWER LLC</name>
        <lei>5493003XDLS9LCQ3SY55</lei>
        <title>TEXGEN POWER LLC</title>
        <cusip>933KFF900</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="3966809P7"/>
        </identifiers>
        <balance>130864.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>5758016.000000</valUSD>
        <pctVal>0.3716100</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NETFLIX INC</name>
        <lei>549300Y7VHGU0I7CE873</lei>
        <title>NETFLIX INC SR UNSECURED 144A 11/29 3.875</title>
        <cusip>ACI1BLL27</cusip>
        <identifiers>
          <isin value="XS1989380503"/>
        </identifiers>
        <balance>1717000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1989793.010000</valUSD>
        <pctVal>0.1284170</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NETFLIX INC</name>
        <lei>549300Y7VHGU0I7CE873</lei>
        <title>NETFLIX INC SR UNSECURED 144A 11/29 5.375</title>
        <cusip>64110LAU0</cusip>
        <identifiers>
          <isin value="US64110LAU08"/>
        </identifiers>
        <balance>184000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191820.000000</valUSD>
        <pctVal>0.0123797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-2X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 2X M REGS</title>
        <cusip>B1YXNZII7</cusip>
        <identifiers>
          <isin value="XS0304280133"/>
        </identifiers>
        <balance>1479758.280000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1656687.520000</valUSD>
        <pctVal>0.1069191</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.98138</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X BA REGS</title>
        <cusip>B2NDQGII0</cusip>
        <identifiers>
          <isin value="XS0329653934"/>
        </identifiers>
        <balance>2558237.620000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>3026369.310000</valUSD>
        <pctVal>0.1953154</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03138</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X BB REGS</title>
        <cusip>B2NDQHII8</cusip>
        <identifiers>
          <isin value="XS0329656366"/>
        </identifiers>
        <balance>1695217.700000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1764909.180000</valUSD>
        <pctVal>0.1139035</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.856</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X CB REGS</title>
        <cusip>B2NDQJII4</cusip>
        <identifiers>
          <isin value="XS0329656523"/>
        </identifiers>
        <balance>3236324.700000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>3376274.910000</valUSD>
        <pctVal>0.2178976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.106</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWMARK GROUP INC</name>
        <lei>N/A</lei>
        <title>NEWMARK GROUP INC SR UNSECURED 11/23 6.125</title>
        <cusip>65158NAB8</cusip>
        <identifiers>
          <isin value="US65158NAB82"/>
        </identifiers>
        <balance>254000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>275749.560000</valUSD>
        <pctVal>0.0177963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOBLE HOLDING INTERNATIONAL LIMITED</name>
        <lei>549300GNEZBJHMST9U32</lei>
        <title>NOBLE HOLDING INTL LTD COMPANY GUAR 144A 02/26 7.875</title>
        <cusip>65504LAQ0</cusip>
        <identifiers>
          <isin value="US65504LAQ05"/>
        </identifiers>
        <balance>325000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235625.000000</valUSD>
        <pctVal>0.0152067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOMURA RESECURITIZATION TRUST 2014-8R</name>
        <lei>N/A</lei>
        <title>NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A</title>
        <cusip>65540QAH5</cusip>
        <identifiers>
          <isin value="US65540QAH56"/>
        </identifiers>
        <balance>3967553.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3904878.940000</valUSD>
        <pctVal>0.2520125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.96869</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOURYON (STARFRUIT US HOLDCO LLC)</name>
        <lei>549300K7VB5G6LULFT41</lei>
        <title>STARFRUIT FINCO B V TERM LOAN B</title>
        <cusip>N8232NAB3</cusip>
        <identifiers>
          <isin value="XAN8232NAB37"/>
        </identifiers>
        <balance>661250.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>649057.870000</valUSD>
        <pctVal>0.0418888</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.2921</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1</name>
        <lei>N/A</lei>
        <title>NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A</title>
        <cusip>66988UAB6</cusip>
        <identifiers>
          <isin value="US66988UAB61"/>
        </identifiers>
        <balance>439839.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>416721.930000</valUSD>
        <pctVal>0.0268943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.6316</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OAKWOOD MORTGAGE INVESTORS INC 1999-D</name>
        <lei>N/A</lei>
        <title>OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1</title>
        <cusip>67087TAQ4</cusip>
        <identifiers>
          <isin value="US67087TAQ40"/>
        </identifiers>
        <balance>2732972.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2951156.860000</valUSD>
        <pctVal>0.1904614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.84</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OAKWOOD MORTGAGE INVESTORS INC 2000-C</name>
        <lei>N/A</lei>
        <title>OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1</title>
        <cusip>67087TBP5</cusip>
        <identifiers>
          <isin value="US67087TBP57"/>
        </identifiers>
        <balance>1211340.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>472736.350000</valUSD>
        <pctVal>0.0305094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.49</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OCEAN TRAILS CLO IV 2013-4A</name>
        <lei>N/A</lei>
        <title>OCEAN TRAILS CLO OCTR 2013 4A ER 144A</title>
        <cusip>67514TAG9</cusip>
        <identifiers>
          <isin value="US67514TAG94"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1497242.840000</valUSD>
        <pctVal>0.0966289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.27563</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ODEBRECHT DRILLING NORBE VIII/IX LTD</name>
        <lei>549300YNW6BY570L6488</lei>
        <title>ODEBRECHT DRILL VIII/IX SR SECURED REGS 12/21 6.35</title>
        <cusip>G67106AB3</cusip>
        <identifiers>
          <isin value="USG67106AB35"/>
        </identifiers>
        <balance>1411135.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1404093.840000</valUSD>
        <pctVal>0.0906172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ODEBRECHT OFFSHORE DRILLING FINANCE LIMITED</name>
        <lei>549300L7LF2PIRAWID66</lei>
        <title>ODBRCHT OFFSHRE DRLL FIN SR SECURED REGS 12/22 6.72</title>
        <cusip>G6711KAC9</cusip>
        <identifiers>
          <isin value="USG6711KAC92"/>
        </identifiers>
        <balance>9479952.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9314148.050000</valUSD>
        <pctVal>0.6011152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.72</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPPENHEIMER HOLDINGS INC</name>
        <lei>N/A</lei>
        <title>OPPENHEIMER HOLDINGS INC SR SECURED 07/22 6.75</title>
        <cusip>683797AD6</cusip>
        <identifiers>
          <isin value="US683797AD62"/>
        </identifiers>
        <balance>1348000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1391810.000000</valUSD>
        <pctVal>0.0898244</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1</title>
        <cusip>68389FKR4</cusip>
        <identifiers>
          <isin value="US68389FKR46"/>
        </identifiers>
        <balance>20000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18545056.000000</valUSD>
        <pctVal>1.1968583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.37838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ORTHO-CLINICAL DIAGNOSTICS INC / ORTHO-CLINICAL DIAGNOSTICS SA</name>
        <lei>N/A</lei>
        <title>ORTHO CLINICAL INC/SA SR UNSECURED 144A 05/22 6.625</title>
        <cusip>22663AAA7</cusip>
        <identifiers>
          <isin value="US22663AAA79"/>
        </identifiers>
        <balance>1147000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1126009.900000</valUSD>
        <pctVal>0.0726703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ORTHO-CLINICAL DIAGNOSTICS SA</name>
        <lei>222100N2EDW8BU5UUT55</lei>
        <title>ORTHO CLINICAL DIAGNOSTICS SA TERM LOAN</title>
        <cusip>L7300KAJ3</cusip>
        <identifiers>
          <isin value="XAL7300KAJ33"/>
        </identifiers>
        <balance>1390663.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1348943.370000</valUSD>
        <pctVal>0.0870579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.563</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC DRILLING SA</name>
        <lei>549300VEJMMZCY6OBU06</lei>
        <title>PACIFIC DRILLING SA SR SECURED 144A 10/23 8.375</title>
        <cusip>694183AA2</cusip>
        <identifiers>
          <isin value="US694183AA23"/>
        </identifiers>
        <balance>612000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>516375.000000</valUSD>
        <pctVal>0.0333257</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 01/40 5.4</title>
        <cusip>694308GS0</cusip>
        <identifiers>
          <isin value="US694308GS01"/>
        </identifiers>
        <balance>46000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51520.000000</valUSD>
        <pctVal>0.0033250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.4</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 02/24 3.75</title>
        <cusip>694308HG5</cusip>
        <identifiers>
          <isin value="US694308HG53"/>
        </identifiers>
        <balance>615000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>624225.000000</valUSD>
        <pctVal>0.0402861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 02/38 6.35</title>
        <cusip>694308GM3</cusip>
        <identifiers>
          <isin value="US694308GM31"/>
        </identifiers>
        <balance>734000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>858780.000000</valUSD>
        <pctVal>0.0554238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.35</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 02/44 4.75</title>
        <cusip>694308HH3</cusip>
        <identifiers>
          <isin value="US694308HH37"/>
        </identifiers>
        <balance>2890000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3077850.000000</valUSD>
        <pctVal>0.1986379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/26 2.95</title>
        <cusip>694308HP5</cusip>
        <identifiers>
          <isin value="US694308HP52"/>
        </identifiers>
        <balance>996000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>986040.000000</valUSD>
        <pctVal>0.0636369</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/27 3.3</title>
        <cusip>694308HS9</cusip>
        <identifiers>
          <isin value="US694308HS91"/>
        </identifiers>
        <balance>1689000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1680555.000000</valUSD>
        <pctVal>0.1084594</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>3.3</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/34 6.05</title>
        <cusip>694308GE1</cusip>
        <identifiers>
          <isin value="US694308GE15"/>
        </identifiers>
        <balance>4823000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5498220.000000</valUSD>
        <pctVal>0.3548434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.05</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/37 5.8</title>
        <cusip>694308GJ0</cusip>
        <identifiers>
          <isin value="US694308GJ02"/>
        </identifiers>
        <balance>8885000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10051156.250000</valUSD>
        <pctVal>0.6486801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.8</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/39 6.25</title>
        <cusip>694308GQ4</cusip>
        <identifiers>
          <isin value="US694308GQ45"/>
        </identifiers>
        <balance>1776000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2060160.000000</valUSD>
        <pctVal>0.1329583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 03/45 4.3</title>
        <cusip>694308HL4</cusip>
        <identifiers>
          <isin value="US694308HL49"/>
        </identifiers>
        <balance>233000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235912.500000</valUSD>
        <pctVal>0.0152253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.3</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 05/21 4.25</title>
        <cusip>694308GV3</cusip>
        <identifiers>
          <isin value="US694308GV30"/>
        </identifiers>
        <balance>3340000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3369225.000000</valUSD>
        <pctVal>0.2174426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 06/23 3.25</title>
        <cusip>694308HC4</cusip>
        <identifiers>
          <isin value="US694308HC40"/>
        </identifiers>
        <balance>1093000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1090267.500000</valUSD>
        <pctVal>0.0703635</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 06/25 3.5</title>
        <cusip>694308HM2</cusip>
        <identifiers>
          <isin value="US694308HM22"/>
        </identifiers>
        <balance>1278000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1278000.000000</valUSD>
        <pctVal>0.0824794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 06/43 4.6</title>
        <cusip>694308HD2</cusip>
        <identifiers>
          <isin value="US694308HD23"/>
        </identifiers>
        <balance>107000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111547.500000</valUSD>
        <pctVal>0.0071990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 08/22 2.45</title>
        <cusip>694308HB6</cusip>
        <identifiers>
          <isin value="US694308HB66"/>
        </identifiers>
        <balance>858000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>851565.000000</valUSD>
        <pctVal>0.0549582</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 08/24 3.4</title>
        <cusip>694308HK6</cusip>
        <identifiers>
          <isin value="US694308HK65"/>
        </identifiers>
        <balance>727000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>732452.500000</valUSD>
        <pctVal>0.0472709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.4</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 08/42 3.75</title>
        <cusip>694308HA8</cusip>
        <identifiers>
          <isin value="US694308HA83"/>
        </identifiers>
        <balance>58000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56115.000000</valUSD>
        <pctVal>0.0036215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 09/21 3.25</title>
        <cusip>694308GW1</cusip>
        <identifiers>
          <isin value="US694308GW13"/>
        </identifiers>
        <balance>171000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>171213.750000</valUSD>
        <pctVal>0.0110498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 10/20 3.5</title>
        <cusip>694308GT8</cusip>
        <identifiers>
          <isin value="US694308GT83"/>
        </identifiers>
        <balance>1783000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1796372.500000</valUSD>
        <pctVal>0.1159340</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 11/23 3.85</title>
        <cusip>694308HE0</cusip>
        <identifiers>
          <isin value="US694308HE06"/>
        </identifiers>
        <balance>89000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89890.000000</valUSD>
        <pctVal>0.0058013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.85</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 11/43 5.125</title>
        <cusip>694308HF7</cusip>
        <identifiers>
          <isin value="US694308HF70"/>
        </identifiers>
        <balance>3335000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3635150.000000</valUSD>
        <pctVal>0.2346048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 12/27 3.3</title>
        <cusip>694308HW0</cusip>
        <identifiers>
          <isin value="US694308HW04"/>
        </identifiers>
        <balance>5190000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5164050.000000</valUSD>
        <pctVal>0.3332768</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.3</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 12/41 4.5</title>
        <cusip>694308GY7</cusip>
        <identifiers>
          <isin value="US694308GY78"/>
        </identifiers>
        <balance>534000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>542010.000000</valUSD>
        <pctVal>0.0349802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 12/46 4</title>
        <cusip>694308HR1</cusip>
        <identifiers>
          <isin value="US694308HR19"/>
        </identifiers>
        <balance>4000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3907.500000</valUSD>
        <pctVal>0.0002522</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 144A 08/23 4.25</title>
        <cusip>694308HZ3</cusip>
        <identifiers>
          <isin value="US694308HZ35"/>
        </identifiers>
        <balance>3310000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3425850.000000</valUSD>
        <pctVal>0.2210970</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS + ELECTRIC SR UNSECURED 144A 08/28 4.65</title>
        <cusip>694308JA6</cusip>
        <identifiers>
          <isin value="US694308JA65"/>
        </identifiers>
        <balance>2633000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2804145.000000</valUSD>
        <pctVal>0.1809735</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
        <lei>1HNPXZSMMB7HMBMVBS46</lei>
        <title>PACIFIC GAS ELECTRIC COMPANY TERM LOAN</title>
        <cusip>964PHYII9</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL2645663"/>
        </identifiers>
        <balance>1882000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1849065.000000</valUSD>
        <pctVal>0.1193347</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>URBI DESARROLLOS URBANOS SA DE CV (AKA: URBIMM)</name>
        <lei>N/A</lei>
        <title>URBI DESARROLLOS URBANOS SAB COMMON STOCK</title>
        <cusip>B0126X906</cusip>
        <identifiers>
          <isin value="MX01UR000007"/>
        </identifiers>
        <balance>95515.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="MXN" exchangeRt="19.734000"/>
        <valUSD>7260.190000</valUSD>
        <pctVal>0.0004686</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALISADES CDO LTD. 2004-1A</name>
        <lei>N/A</lei>
        <title>PALISADES CDO LTD PALIS 2004 1A B1 144A</title>
        <cusip>696399AD6</cusip>
        <identifiers>
          <isin value="US696399AD66"/>
        </identifiers>
        <balance>4900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2569520.800000</valUSD>
        <pctVal>0.1658314</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.22763</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PAR PHARMACEUTICAL INC</name>
        <lei>549300KK5WR4MGN4YT97</lei>
        <title>PAR PHARMACEUTICAL INC SR SECURED 144A 04/27 7.5</title>
        <cusip>69888XAA7</cusip>
        <identifiers>
          <isin value="US69888XAA72"/>
        </identifiers>
        <balance>316000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>288350.000000</valUSD>
        <pctVal>0.0186095</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>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PAREXEL INTERNATIONAL CORPORATION</name>
        <lei>549300GCZVUYB6P2OA17</lei>
        <title>PAREXEL INTL CORP TERM LOAN B</title>
        <cusip>69946EAT8</cusip>
        <identifiers>
          <isin value="US69946EAT82"/>
        </identifiers>
        <balance>88314.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84119.810000</valUSD>
        <pctVal>0.0054289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERFORMANCE FOOD GROUP INC</name>
        <lei>549300OMUOGBYK0FFO76</lei>
        <title>PERFORMANCE FOOD GROUP I SR UNSECURED 144A 10/27 5.5</title>
        <cusip>69346VAA7</cusip>
        <identifiers>
          <isin value="US69346VAA70"/>
        </identifiers>
        <balance>58000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61190.000000</valUSD>
        <pctVal>0.0039491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94</title>
        <cusip>715638BX9</cusip>
        <identifiers>
          <isin value="US715638BX94"/>
        </identifiers>
        <balance>10459000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>3513240.880000</valUSD>
        <pctVal>0.2267371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.94</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2</title>
        <cusip>715638AX0</cusip>
        <identifiers>
          <isin value="US715638AX04"/>
        </identifiers>
        <balance>5148000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>1938820.840000</valUSD>
        <pctVal>0.1251274</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35</title>
        <cusip>715638BV3</cusip>
        <identifiers>
          <isin value="US715638BV39"/>
        </identifiers>
        <balance>17137000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>5923779.330000</valUSD>
        <pctVal>0.3823081</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95</title>
        <cusip>715638BD3</cusip>
        <identifiers>
          <isin value="US715638BD31"/>
        </identifiers>
        <balance>3746000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>1356338.090000</valUSD>
        <pctVal>0.0875352</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15</title>
        <cusip>715638BY7</cusip>
        <identifiers>
          <isin value="US715638BY77"/>
        </identifiers>
        <balance>1180000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>399630.420000</valUSD>
        <pctVal>0.0257913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.15</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4</title>
        <cusip>715638CZ3</cusip>
        <identifiers>
          <isin value="US715638CZ34"/>
        </identifiers>
        <balance>32000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>10125.400000</valUSD>
        <pctVal>0.0006535</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9</title>
        <cusip>715638AV4</cusip>
        <identifiers>
          <isin value="US715638AV48"/>
        </identifiers>
        <balance>206000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>74864.920000</valUSD>
        <pctVal>0.0048316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94</title>
        <cusip>P78024AE9</cusip>
        <identifiers>
          <isin value="USP78024AE96"/>
        </identifiers>
        <balance>98000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>32918.790000</valUSD>
        <pctVal>0.0021245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.94</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU UNSECURED 144A 08/24 5.7</title>
        <cusip>715638BT8</cusip>
        <identifiers>
          <isin value="US715638BT82"/>
        </identifiers>
        <balance>180000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
        <valUSD>59467.080000</valUSD>
        <pctVal>0.0038379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 01/34 6.625</title>
        <cusip>ACI07KN16</cusip>
        <identifiers>
          <isin value="XS0982711474"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1022321.240000</valUSD>
        <pctVal>0.0659784</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 12/26 6.25</title>
        <cusip>B71QWNII2</cusip>
        <identifiers>
          <isin value="XS0718502007"/>
        </identifiers>
        <balance>1196000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1743510.440000</valUSD>
        <pctVal>0.1125224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 12/99 6.85</title>
        <cusip>71647NAN9</cusip>
        <identifiers>
          <isin value="US71647NAN93"/>
        </identifiers>
        <balance>199000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227894.800000</valUSD>
        <pctVal>0.0147078</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2099-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.85</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 144A 01/30 5.093</title>
        <cusip>71647NBF5</cusip>
        <identifiers>
          <isin value="US71647NBF50"/>
        </identifiers>
        <balance>1629622.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1701977.480000</valUSD>
        <pctVal>0.1098420</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.093</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 02/28 5.35</title>
        <cusip>71654QCK6</cusip>
        <identifiers>
          <isin value="US71654QCK67"/>
        </identifiers>
        <balance>1716000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1644151.080000</valUSD>
        <pctVal>0.1061100</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 03/27 6.5</title>
        <cusip>71654QCG5</cusip>
        <identifiers>
          <isin value="US71654QCG55"/>
        </identifiers>
        <balance>3176000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3314156.000000</valUSD>
        <pctVal>0.2138885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75</title>
        <cusip>71654QCC4</cusip>
        <identifiers>
          <isin value="US71654QCC42"/>
        </identifiers>
        <balance>120000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115476.000000</valUSD>
        <pctVal>0.0074526</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 144A 01/27 6.49</title>
        <cusip>71654QCQ3</cusip>
        <identifiers>
          <isin value="US71654QCQ38"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>208730.000000</valUSD>
        <pctVal>0.0134710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.49</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 144A 01/30 6.84</title>
        <cusip>71654QCT7</cusip>
        <identifiers>
          <isin value="US71654QCT76"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>621570.000000</valUSD>
        <pctVal>0.0401148</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.84</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 144A 01/50 7.69</title>
        <cusip>71654QCW0</cusip>
        <identifiers>
          <isin value="US71654QCW06"/>
        </identifiers>
        <balance>330000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>344949.000000</valUSD>
        <pctVal>0.0222623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.69</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETSMART INC</name>
        <lei>N/A</lei>
        <title>PETSMART INC CONSENTING TERM LOAN</title>
        <cusip>71677HAG0</cusip>
        <identifiers>
          <isin value="US71677HAG02"/>
        </identifiers>
        <balance>306759.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299602.070000</valUSD>
        <pctVal>0.0193357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.04</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETSMART INC</name>
        <lei>N/A</lei>
        <title>PETSMART INC SR SECURED 144A 06/25 5.875</title>
        <cusip>716768AC0</cusip>
        <identifiers>
          <isin value="US716768AC09"/>
        </identifiers>
        <balance>203000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203000.000000</valUSD>
        <pctVal>0.0131012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PINNACOL ASSURANCE</name>
        <lei>549300D37RE2C54DGD62</lei>
        <title>PINNACOL ASSURANCE SUBORDINATE 06/34 8.625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72349LAA08"/>
        </identifiers>
        <balance>10200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10967130.370000</valUSD>
        <pctVal>0.7077952</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VICI PROPERTIES INC</name>
        <lei>254900RKH6RY9KCJQH63</lei>
        <title>VICI PROPERTIES INC REIT USD.01</title>
        <cusip>925652109</cusip>
        <identifiers>
          <isin value="US9256521090"/>
        </identifiers>
        <balance>594589.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>13467440.850000</valUSD>
        <pctVal>0.8691599</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>POPULAR ABS MTGE PASS THRU TRUST 2005-B</name>
        <lei>N/A</lei>
        <title>POPULAR ABS MORTGAGE PASS THRO POPLR 2005 B M4</title>
        <cusip>73316PEP1</cusip>
        <identifiers>
          <isin value="US73316PEP18"/>
        </identifiers>
        <balance>3663000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3762073.890000</valUSD>
        <pctVal>0.2427962</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.26838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PPDI (PHARMACEUTICAL PRODUCT DEVELOPMENT) EAGLE HOLDING COMPANY II LLC</name>
        <lei>N/A</lei>
        <title>EAGLE HOLDING CO II LLC UNSECURED 144A 05/22 VAR</title>
        <cusip>26959XAC7</cusip>
        <identifiers>
          <isin value="US26959XAC74"/>
        </identifiers>
        <balance>50000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50500.000000</valUSD>
        <pctVal>0.0032592</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PREFERRED TERM SECURITIES XVIII LTD / PREFERRED TERM SECURITIES XVIII INC</name>
        <lei>N/A</lei>
        <title>PREFERRED TERM XVIII SECURED 144A 09/35 VAR</title>
        <cusip>74042WAA2</cusip>
        <identifiers>
          <isin value="US74042WAA27"/>
        </identifiers>
        <balance>311641.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302292.630000</valUSD>
        <pctVal>0.0195093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.4985</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PRESS GANEY (EMERALD TOPCO INC)</name>
        <lei>549300KISPZJ80F65D65</lei>
        <title>EMERALD TOPCO INC TERM LOAN</title>
        <cusip>29102TAB8</cusip>
        <identifiers>
          <isin value="US29102TAB89"/>
        </identifiers>
        <balance>98000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97785.580000</valUSD>
        <pctVal>0.0063109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.5435</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PROJECT DIAMOND</name>
        <lei>N/A</lei>
        <title>ALKALI EUROPE III, S.A R.L. 12/99 1</title>
        <cusip>ACI1DS1R7</cusip>
        <identifiers>
          <isin value="XS2035871396"/>
        </identifiers>
        <balance>15000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>16332905.710000</valUSD>
        <pctVal>1.0540908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2099-12-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PROJECT PEARL</name>
        <lei>N/A</lei>
        <title>DSSV DSSV PRL A</title>
        <cusip>ACI1DSVZ6</cusip>
        <identifiers>
          <isin value="XS2035317374"/>
        </identifiers>
        <balance>15000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>16332905.710000</valUSD>
        <pctVal>1.0540908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PROVINCE OF BUENOS AIRES ARGENTINA</name>
        <lei>N/A</lei>
        <title>PROVINCIA DE BUENOS AIRE UNSECURED 05/22 VAR</title>
        <cusip>ACI0VF965</cusip>
        <identifiers>
          <isin value="ARPBUE3204J9"/>
        </identifiers>
        <balance>16910000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>112262.690000</valUSD>
        <pctVal>0.0072452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>54.8058</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PROVINCE OF BUENOS AIRES ARGENTINA</name>
        <lei>N/A</lei>
        <title>PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR</title>
        <cusip>P1910WRC5</cusip>
        <identifiers>
          <isin value="ARPBUE3205N8"/>
        </identifiers>
        <balance>717986000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>5829713.330000</valUSD>
        <pctVal>0.3762372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>54.5011</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>QORVO INC</name>
        <lei>254900YAUJV2EUEVBR11</lei>
        <title>QORVO INC COMPANY GUAR 144A 10/29 4.375</title>
        <cusip>74736KAG6</cusip>
        <identifiers>
          <isin value="US74736KAG67"/>
        </identifiers>
        <balance>56000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56490.000000</valUSD>
        <pctVal>0.0036457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>QVC INC</name>
        <lei>549300WBLU5NKPX5X472</lei>
        <title>QVC INC SR SECURED 03/43 5.95</title>
        <cusip>747262AM5</cusip>
        <identifiers>
          <isin value="US747262AM52"/>
        </identifiers>
        <balance>1983000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1991659.300000</valUSD>
        <pctVal>0.1285374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RBSSP RESECURITIZATION TRUST 2009-7</name>
        <lei>N/A</lei>
        <title>RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A</title>
        <cusip>75524MAK6</cusip>
        <identifiers>
          <isin value="US75524MAK62"/>
        </identifiers>
        <balance>6032639.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4852795.060000</valUSD>
        <pctVal>0.3131890</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RBSSP RESECURITIZATION TRUST 2010-1</name>
        <lei>N/A</lei>
        <title>RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A</title>
        <cusip>74928YAD1</cusip>
        <identifiers>
          <isin value="US74928YAD13"/>
        </identifiers>
        <balance>20149996.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20300717.970000</valUSD>
        <pctVal>1.3101650</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.39218</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RBSSP RESECURITIZATION TRUST 2010-3</name>
        <lei>N/A</lei>
        <title>RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A</title>
        <cusip>74929FCN7</cusip>
        <identifiers>
          <isin value="US74929FCN78"/>
        </identifiers>
        <balance>5366677.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4790256.210000</valUSD>
        <pctVal>0.3091529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.5694</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RCN GRANDE (RADIATE HOLDCO LLC / RADIATE FINANCE INC)</name>
        <lei>N/A</lei>
        <title>RADIATE HOLDCO / FINANCE SR UNSECURED 144A 02/23 6.875</title>
        <cusip>75026JAB6</cusip>
        <identifiers>
          <isin value="US75026JAB61"/>
        </identifiers>
        <balance>140000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144725.000000</valUSD>
        <pctVal>0.0093402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>REFINITIV US HOLDINGS INC (AKA: FINANCIAL &amp; RISK US HOLDINGS I)</name>
        <lei>549300NF240HXJO7N016</lei>
        <title>FINANCIAL   RISK US HLDGS INC TERM LOAN B</title>
        <cusip>31740MAC5</cusip>
        <identifiers>
          <isin value="US31740MAC55"/>
        </identifiers>
        <balance>2859392.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2878381.730000</valUSD>
        <pctVal>0.1857646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>REFINITIV US HOLDINGS INC (AKA: FINANCIAL &amp; RISK US HOLDINGS I)</name>
        <lei>549300NF240HXJO7N016</lei>
        <title>REFINITIV US HOLDINGS SR SECURED REGS 05/26 4.5</title>
        <cusip>ACI1544Z8</cusip>
        <identifiers>
          <isin value="XS1843460525"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>470705.950000</valUSD>
        <pctVal>0.0303784</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND MINING HOLDINGS L COMMON</title>
        <cusip>935ZXN908</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="EQTY03452"/>
        </identifiers>
        <balance>358.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>4475.000000</valUSD>
        <pctVal>0.0002888</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2005-QS10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A</title>
        <cusip>761118CW6</cusip>
        <identifiers>
          <isin value="US761118CW63"/>
        </identifiers>
        <balance>751210.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>758415.000000</valUSD>
        <pctVal>0.0489465</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QA1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA1 A31</title>
        <cusip>761118TD0</cusip>
        <identifiers>
          <isin value="US761118TD00"/>
        </identifiers>
        <balance>525077.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>471244.020000</valUSD>
        <pctVal>0.0304131</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.73817</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QA5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1</title>
        <cusip>75115BAA7</cusip>
        <identifiers>
          <isin value="US75115BAA70"/>
        </identifiers>
        <balance>9856129.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6207001.310000</valUSD>
        <pctVal>0.4005866</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QS6</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13</title>
        <cusip>74922EAN9</cusip>
        <identifiers>
          <isin value="US74922EAN94"/>
        </identifiers>
        <balance>141709.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133324.900000</valUSD>
        <pctVal>0.0086045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QS6</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15</title>
        <cusip>74922EAQ2</cusip>
        <identifiers>
          <isin value="US74922EAQ26"/>
        </identifiers>
        <balance>152353.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143339.320000</valUSD>
        <pctVal>0.0092508</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2005-QO5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1</title>
        <cusip>761118QM3</cusip>
        <identifiers>
          <isin value="US761118QM36"/>
        </identifiers>
        <balance>5050841.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4823882.770000</valUSD>
        <pctVal>0.3113231</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.44605</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2006-QS12</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4</title>
        <cusip>751151AD3</cusip>
        <identifiers>
          <isin value="US751151AD34"/>
        </identifiers>
        <balance>4626546.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3168938.070000</valUSD>
        <pctVal>0.2045165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2007-QH4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1</title>
        <cusip>74922TAA4</cusip>
        <identifiers>
          <isin value="US74922TAA43"/>
        </identifiers>
        <balance>13824378.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13591933.940000</valUSD>
        <pctVal>0.8771944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2007-QS11</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1</title>
        <cusip>74925GAA9</cusip>
        <identifiers>
          <isin value="US74925GAA94"/>
        </identifiers>
        <balance>8730085.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7817444.140000</valUSD>
        <pctVal>0.5045211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD INC 2004-RS4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS4 MII1</title>
        <cusip>7609853H2</cusip>
        <identifiers>
          <isin value="US7609853H24"/>
        </identifiers>
        <balance>3948218.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3893293.570000</valUSD>
        <pctVal>0.2512648</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2006-EMX7</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4</title>
        <cusip>74924TAD6</cusip>
        <identifiers>
          <isin value="US74924TAD63"/>
        </identifiers>
        <balance>11000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8553341.500000</valUSD>
        <pctVal>0.5520144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.25838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2005-A9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5</title>
        <cusip>45660LTS8</cusip>
        <identifiers>
          <isin value="US45660LTS87"/>
        </identifiers>
        <balance>784284.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>674663.850000</valUSD>
        <pctVal>0.0435414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2007-A8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5</title>
        <cusip>761128AH0</cusip>
        <identifiers>
          <isin value="US761128AH05"/>
        </identifiers>
        <balance>4137136.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1702912.950000</valUSD>
        <pctVal>0.1099024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2</title>
        <cusip>76111XZS5</cusip>
        <identifiers>
          <isin value="US76111XZS51"/>
        </identifiers>
        <balance>133521.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130163.830000</valUSD>
        <pctVal>0.0084005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.85</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL FUNDING MTG SEC I 2006-SA2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA2 4A1</title>
        <cusip>749574AG4</cusip>
        <identifiers>
          <isin value="US749574AG42"/>
        </identifiers>
        <balance>1326437.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1166257.750000</valUSD>
        <pctVal>0.0752678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.42718</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL FUNDING MTGE SEC 2007-S4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14</title>
        <cusip>74958YAN2</cusip>
        <identifiers>
          <isin value="US74958YAN22"/>
        </identifiers>
        <balance>1150938.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1124109.660000</valUSD>
        <pctVal>0.0725476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2014-1</name>
        <lei>549300V5D1W52HY8NO65</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED 144A 07/24 9.25</title>
        <cusip>76716XAA0</cusip>
        <identifiers>
          <isin value="US76716XAA00"/>
        </identifiers>
        <balance>4530736.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5074470.700000</valUSD>
        <pctVal>0.3274955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-06</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>9.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2014-1</name>
        <lei>549300V5D1W52HY8NO65</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED REGS 07/24 9.25</title>
        <cusip>U76673AA7</cusip>
        <identifiers>
          <isin value="USU76673AA72"/>
        </identifiers>
        <balance>149037.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166923.390000</valUSD>
        <pctVal>0.0107729</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-06</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>9.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2014-3</name>
        <lei>N/A</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED 144A 01/27 9.75</title>
        <cusip>76716XAB8</cusip>
        <identifiers>
          <isin value="US76716XAB82"/>
        </identifiers>
        <balance>2282299.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2676018.890000</valUSD>
        <pctVal>0.1727045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-06</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>9.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2018-1</name>
        <lei>N/A</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2</title>
        <cusip>76716XAC6</cusip>
        <identifiers>
          <isin value="US76716XAC65"/>
        </identifiers>
        <balance>330000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>378675.000000</valUSD>
        <pctVal>0.0244389</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RITE AID PASS THROUGH CERTIFICATES 1999-1A</name>
        <lei>N/A</lei>
        <title>RITE AID PASS THROUGH CERTIFIC RAID 1999 1A A2 144A</title>
        <cusip>767759AB9</cusip>
        <identifiers>
          <isin value="US767759AB95"/>
        </identifiers>
        <balance>7898212.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8074784.430000</valUSD>
        <pctVal>0.5211293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-02</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.78191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIVERVIEW HECM TRUST-2007-1</name>
        <lei>N/A</lei>
        <title>RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A</title>
        <cusip>769422AA4</cusip>
        <identifiers>
          <isin value="US769422AA40"/>
        </identifiers>
        <balance>7001598.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6453764.650000</valUSD>
        <pctVal>0.4165122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.98</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780097BB6</cusip>
        <identifiers>
          <isin value="US780097BB64"/>
        </identifiers>
        <balance>4520000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4851542.000000</valUSD>
        <pctVal>0.3131082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Royal Bank of Scotland Group plc</name>
              <title>Royal Bank of Scotland Group plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="437.828" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CJ4</cusip>
        <identifiers>
          <isin value="US780099CJ48"/>
        </identifiers>
        <balance>5989000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6131238.750000</valUSD>
        <pctVal>0.3956970</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Royal Bank of Scotland Group plc</name>
              <title>Royal Bank of Scotland Group plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CK1</cusip>
        <identifiers>
          <isin value="US780099CK11"/>
        </identifiers>
        <balance>5775000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6384262.500000</valUSD>
        <pctVal>0.4120267</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Royal Bank of Scotland Group plc</name>
              <title>Royal Bank of Scotland Group plc</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SABRA HEALTH CARE LP / SABRA CAPITAL CORP</name>
        <lei>N/A</lei>
        <title>SABRA HEALTH/CAPTL CORP COMPANY GUAR 06/24 4.8</title>
        <cusip>78572XAF8</cusip>
        <identifiers>
          <isin value="US78572XAF87"/>
        </identifiers>
        <balance>442000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>467507.820000</valUSD>
        <pctVal>0.0301720</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/25 5.125</title>
        <cusip>80007RAF2</cusip>
        <identifiers>
          <isin value="US80007RAF29"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>660252.000000</valUSD>
        <pctVal>0.0426113</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/28 5.4</title>
        <cusip>80007RAE5</cusip>
        <identifiers>
          <isin value="US80007RAE53"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3951066.250000</valUSD>
        <pctVal>0.2549934</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0CTJV0</cusip>
        <identifiers>
          <isin value="XS1244538523"/>
        </identifiers>
        <balance>8635000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>11248148.530000</valUSD>
        <pctVal>0.7259315</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0TF455</cusip>
        <identifiers>
          <isin value="XS1592884123"/>
        </identifiers>
        <balance>9200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>11831872.870000</valUSD>
        <pctVal>0.7636038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SAXON ASSET SECURITIES TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2005 4 M2</title>
        <cusip>805564TK7</cusip>
        <identifiers>
          <isin value="US805564TK70"/>
        </identifiers>
        <balance>13000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12728583.400000</valUSD>
        <pctVal>0.8214756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.46838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/25 3.625</title>
        <cusip>ACI1C5ZQ3</cusip>
        <identifiers>
          <isin value="XS2004438532"/>
        </identifiers>
        <balance>690000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>780669.040000</valUSD>
        <pctVal>0.0503827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 3.875</title>
        <cusip>ACI1C5ZJ9</cusip>
        <identifiers>
          <isin value="XS2004458720"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>334555.790000</valUSD>
        <pctVal>0.0215915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6</title>
        <cusip>44963BAE8</cusip>
        <identifiers>
          <isin value="US44963BAE83"/>
        </identifiers>
        <balance>1071000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1087065.000000</valUSD>
        <pctVal>0.0701569</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/29 6.375</title>
        <cusip>44963BAD0</cusip>
        <identifiers>
          <isin value="US44963BAD01"/>
        </identifiers>
        <balance>944000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>955800.000000</valUSD>
        <pctVal>0.0616853</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHENCK PROCESS (PLATIN 1426 GMBH)</name>
        <lei>213800NMYXIGFN77O655</lei>
        <title>PLATIN 1426 GMBH SR SECURED 144A 06/23 6.875</title>
        <cusip>BGGC6YII2</cusip>
        <identifiers>
          <isin value="XS1862512024"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1281781.590000</valUSD>
        <pctVal>0.0827234</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHENCK PROCESS (PLATIN 1426 GMBH)</name>
        <lei>213800NMYXIGFN77O655</lei>
        <title>PLATIN 1426 GMBH SR SECURED REGS 06/23 6.875</title>
        <cusip>ACI147DK5</cusip>
        <identifiers>
          <isin value="XS1862511729"/>
        </identifiers>
        <balance>940000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1004062.240000</valUSD>
        <pctVal>0.0648000</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SENSATA TECHNOLOGIES INC</name>
        <lei>N/A</lei>
        <title>SENSATA TECH INC COMPANY GUAR 144A 02/30 4.375</title>
        <cusip>81728UAA2</cusip>
        <identifiers>
          <isin value="US81728UAA25"/>
        </identifiers>
        <balance>66000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66165.000000</valUSD>
        <pctVal>0.0042701</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUA MEZZANINE HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>SEQUA MEZZANINE HLDGS LLC FIRST LIEN</title>
        <cusip>81733HAB2</cusip>
        <identifiers>
          <isin value="US81733HAB24"/>
        </identifiers>
        <balance>13534662.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13427509.000000</valUSD>
        <pctVal>0.8665827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.187</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUA MEZZANINE HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>SEQUA MEZZANINE HLDGS LLC SECOND LIEN</title>
        <cusip>81733HAC0</cusip>
        <identifiers>
          <isin value="US81733HAC07"/>
        </identifiers>
        <balance>32252370.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31768584.790000</valUSD>
        <pctVal>2.0502766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>11.2657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 B1</title>
        <cusip>81743VAG8</cusip>
        <identifiers>
          <isin value="US81743VAG86"/>
        </identifiers>
        <balance>901423.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>883487.440000</valUSD>
        <pctVal>0.0570184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.24425</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2</title>
        <cusip>81744MAB8</cusip>
        <identifiers>
          <isin value="US81744MAB81"/>
        </identifiers>
        <balance>1695500.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>971244.210000</valUSD>
        <pctVal>0.0626820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.41425</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>SINCLAIR TELEVISION GROUP INC</name>
        <lei>549300CQGEN0CH65UD62</lei>
        <title>SINCLAIR TELEVISION GROUP INC TERM LOAN B2B</title>
        <cusip>82925BAE5</cusip>
        <identifiers>
          <isin value="US82925BAE56"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201187.600000</valUSD>
        <pctVal>0.0129842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.54</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2013-M1</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A</title>
        <cusip>78447T103</cusip>
        <identifiers>
          <isin value="US78447T1034"/>
        </identifiers>
        <balance>11090.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11544569.000000</valUSD>
        <pctVal>0.7450618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST-2007-4</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2007 4 R</title>
        <cusip>78444A107</cusip>
        <identifiers>
          <isin value="US78444A1079"/>
        </identifiers>
        <balance>9000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5821071.720000</valUSD>
        <pctVal>0.3756795</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLOVENIA BROADBAND SARL (UNITED GROUP BV)</name>
        <lei>213800PC85O8BJ7DU398</lei>
        <title>UNITED GROUP BV SR SECURED 144A 07/22 4.375</title>
        <cusip>ACI0W96H7</cusip>
        <identifiers>
          <isin value="XS1647815346"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>223005.150000</valUSD>
        <pctVal>0.0143923</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLOVENIA BROADBAND SARL (UNITED GROUP BV)</name>
        <lei>213800PC85O8BJ7DU398</lei>
        <title>UNITED GROUP BV SR SECURED 144A 07/24 4.875</title>
        <cusip>ACI0W96S3</cusip>
        <identifiers>
          <isin value="XS1647815932"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>227594.710000</valUSD>
        <pctVal>0.0146885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2015-A</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A</title>
        <cusip>78448P100</cusip>
        <identifiers>
          <isin value="US78448P1003"/>
        </identifiers>
        <balance>2500.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2068215.470000</valUSD>
        <pctVal>0.1334782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOCIETE GENERALE</name>
        <lei>O2RNE8IBXP4R0TD8PU41</lei>
        <title>SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR</title>
        <cusip>83367TBU2</cusip>
        <identifiers>
          <isin value="US83367TBU25"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>407860.000000</valUSD>
        <pctVal>0.0263224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOCIETE GENERALE</name>
        <lei>O2RNE8IBXP4R0TD8PU41</lei>
        <title>SOCIETE GENERALE JR SUBORDINA 144A 12/99 VAR</title>
        <cusip>83367TBV0</cusip>
        <identifiers>
          <isin value="US83367TBV08"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1685144.000000</valUSD>
        <pctVal>0.1087556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2015-</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2015 B RC</title>
        <cusip>834017105</cusip>
        <identifiers>
          <isin value="US8340171052"/>
        </identifiers>
        <balance>80000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>717391.200000</valUSD>
        <pctVal>0.0462989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2016-D</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2016 D R 144A</title>
        <cusip>83404L101</cusip>
        <identifiers>
          <isin value="US83404L1017"/>
        </identifiers>
        <balance>9180000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2913961.500000</valUSD>
        <pctVal>0.1880608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B R 144A</title>
        <cusip>83403Y104</cusip>
        <identifiers>
          <isin value="US83403Y1047"/>
        </identifiers>
        <balance>9300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3636951.000000</valUSD>
        <pctVal>0.2347210</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C R1 144A</title>
        <cusip>83405D108</cusip>
        <identifiers>
          <isin value="US83405D1081"/>
        </identifiers>
        <balance>46600.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2121656.060000</valUSD>
        <pctVal>0.1369271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-D</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 D R1 144A</title>
        <cusip>78471C109</cusip>
        <identifiers>
          <isin value="US78471C1099"/>
        </identifiers>
        <balance>4003000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2174429.600000</valUSD>
        <pctVal>0.1403330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOLOSO CDO LTD 2007-1A</name>
        <lei>N/A</lei>
        <title>SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A</title>
        <cusip>83438JAC0</cusip>
        <identifiers>
          <isin value="US83438JAC09"/>
        </identifiers>
        <balance>4800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3966240.000000</valUSD>
        <pctVal>0.2559727</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.62263</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2005-4</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 4 M3</title>
        <cusip>83611MKG2</cusip>
        <identifiers>
          <isin value="US83611MKG23"/>
        </identifiers>
        <balance>16904500.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16492456.190000</valUSD>
        <pctVal>1.0643879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.51838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4</title>
        <cusip>83612TAE2</cusip>
        <identifiers>
          <isin value="US83612TAE29"/>
        </identifiers>
        <balance>8132476.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6296210.350000</valUSD>
        <pctVal>0.4063440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTH AFRICA GOVT</name>
        <lei>N/A</lei>
        <title>REPUBLIC OF SOUTH AFRICA 09/29 4.85</title>
        <cusip>836205BA1</cusip>
        <identifiers>
          <isin value="US836205BA15"/>
        </identifiers>
        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3392482.600000</valUSD>
        <pctVal>0.2189436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.85</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTH AFRICA GOVT</name>
        <lei>N/A</lei>
        <title>REPUBLIC OF SOUTH AFRICA 09/49 5.75</title>
        <cusip>836205BB9</cusip>
        <identifiers>
          <isin value="US836205BB97"/>
        </identifiers>
        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3387443.800000</valUSD>
        <pctVal>0.2186184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTH COAST FUNDING 7A</name>
        <lei>N/A</lei>
        <title>SOUTH COAST FUNDING SCF 7A A1AN 144A</title>
        <cusip>83743YAS2</cusip>
        <identifiers>
          <isin value="US83743YAS28"/>
        </identifiers>
        <balance>137026348.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32959358.660000</valUSD>
        <pctVal>2.1271266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56263</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTH COAST FUNDING 7A</name>
        <lei>N/A</lei>
        <title>SOUTH COAST FUNDING SCF 7A A1AV 144A</title>
        <cusip>83743YAA1</cusip>
        <identifiers>
          <isin value="US83743YAA10"/>
        </identifiers>
        <balance>9678955.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2328108.090000</valUSD>
        <pctVal>0.1502511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56263</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
        <lei>9R1Z5I36FERIBVKW4P77</lei>
        <title>SOUTHERN CAL EDISON 1ST REF MORT 01/34 6</title>
        <cusip>842400ES8</cusip>
        <identifiers>
          <isin value="US842400ES88"/>
        </identifiers>
        <balance>6000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7576.480000</valUSD>
        <pctVal>0.0004890</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
        <lei>9R1Z5I36FERIBVKW4P77</lei>
        <title>SOUTHERN CAL EDISON 1ST REF MORT 03/28 3.65</title>
        <cusip>842400GJ6</cusip>
        <identifiers>
          <isin value="US842400GJ61"/>
        </identifiers>
        <balance>21000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22494.070000</valUSD>
        <pctVal>0.0014517</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
        <lei>9R1Z5I36FERIBVKW4P77</lei>
        <title>SOUTHERN CAL EDISON 1ST REF MORT 04/35 5.75</title>
        <cusip>842400EV1</cusip>
        <identifiers>
          <isin value="US842400EV18"/>
        </identifiers>
        <balance>32000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39349.020000</valUSD>
        <pctVal>0.0025395</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
        <lei>9R1Z5I36FERIBVKW4P77</lei>
        <title>SOUTHERN CAL EDISON SR UNSECURED 04/29 6.65</title>
        <cusip>842400EB5</cusip>
        <identifiers>
          <isin value="US842400EB53"/>
        </identifiers>
        <balance>189000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>233332.000000</valUSD>
        <pctVal>0.0150587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2005-HE5</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2005 HE5 M5</title>
        <cusip>004421RJ4</cusip>
        <identifiers>
          <isin value="US004421RJ45"/>
        </identifiers>
        <balance>5413414.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3002911.110000</valUSD>
        <pctVal>0.1938015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.97838</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>SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)</name>
        <lei>N/A</lei>
        <title>AGFC CAPITAL TRUST I LIMITD GUARA 144A 01/67 VAR</title>
        <cusip>00846NAA5</cusip>
        <identifiers>
          <isin value="US00846NAA54"/>
        </identifiers>
        <balance>12900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7030500.000000</valUSD>
        <pctVal>0.4537334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.05338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>SPRINGLEAF FINANCE CORP COMPANY GUAR 01/28 6.625</title>
        <cusip>85172FAQ2</cusip>
        <identifiers>
          <isin value="US85172FAQ28"/>
        </identifiers>
        <balance>974000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1049777.200000</valUSD>
        <pctVal>0.0677504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>SPRINGLEAF FINANCE CORP COMPANY GUAR 03/23 5.625</title>
        <cusip>85172FAL3</cusip>
        <identifiers>
          <isin value="US85172FAL31"/>
        </identifiers>
        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3103000.000000</valUSD>
        <pctVal>0.2002610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>SPRINGLEAF FINANCE CORP COMPANY GUAR 03/24 6.125</title>
        <cusip>85172FAP4</cusip>
        <identifiers>
          <isin value="US85172FAP45"/>
        </identifiers>
        <balance>314000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>338727.500000</valUSD>
        <pctVal>0.0218607</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>SPRINGLEAF FINANCE CORP COMPANY GUAR 03/25 6.875</title>
        <cusip>85172FAM1</cusip>
        <identifiers>
          <isin value="US85172FAM14"/>
        </identifiers>
        <balance>269000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>297076.880000</valUSD>
        <pctVal>0.0191727</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINT CORP (SPRINT COMMUNICATIONS INC)</name>
        <lei>549300JKU50UT08ZWD77</lei>
        <title>SPRINT COMMUNICATIONS SR UNSECURED 11/22 6</title>
        <cusip>852061AS9</cusip>
        <identifiers>
          <isin value="US852061AS99"/>
        </identifiers>
        <balance>185000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197025.000000</valUSD>
        <pctVal>0.0127156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINT CORPORATION</name>
        <lei>549300ZTTY7CXOLJ6539</lei>
        <title>SPRINT CORP COMPANY GUAR 09/21 7.25</title>
        <cusip>85207UAE5</cusip>
        <identifiers>
          <isin value="US85207UAE55"/>
        </identifiers>
        <balance>543000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>580792.800000</valUSD>
        <pctVal>0.0374831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STAPLES INC</name>
        <lei>XQM2JINI1UL7642TU573</lei>
        <title>STAPLES INC SR SECURED 144A 04/26 7.5</title>
        <cusip>855030AN2</cusip>
        <identifiers>
          <isin value="US855030AN20"/>
        </identifiers>
        <balance>190000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196232.000000</valUSD>
        <pctVal>0.0126644</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STICHTING AK RABOBANK CERTIFICATEN</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 6.5</title>
        <cusip>BJBQCWII7</cusip>
        <identifiers>
          <isin value="XS1002121454"/>
        </identifiers>
        <balance>440000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>604508.250000</valUSD>
        <pctVal>0.0390137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-29</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE MTG LN 2006-7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1</title>
        <cusip>86361BAJ6</cusip>
        <identifiers>
          <isin value="US86361BAJ61"/>
        </identifiers>
        <balance>3248800.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1434259.540000</valUSD>
        <pctVal>0.0925640</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.07993</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2007-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3</title>
        <cusip>86362TAF4</cusip>
        <identifiers>
          <isin value="US86362TAF49"/>
        </identifiers>
        <balance>10858397.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9603350.430000</valUSD>
        <pctVal>0.6197797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.06221</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2007-3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1</title>
        <cusip>86363GAF1</cusip>
        <identifiers>
          <isin value="US86363GAF19"/>
        </identifiers>
        <balance>1756918.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1299596.410000</valUSD>
        <pctVal>0.0838732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.42359</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2006-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2</title>
        <cusip>86360KBK3</cusip>
        <identifiers>
          <isin value="US86360KBK34"/>
        </identifiers>
        <balance>4579647.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4370689.480000</valUSD>
        <pctVal>0.2820750</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.23685</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2007-AR2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2</title>
        <cusip>86363DAJ0</cusip>
        <identifiers>
          <isin value="US86363DAJ00"/>
        </identifiers>
        <balance>717955.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>431737.750000</valUSD>
        <pctVal>0.0278634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTGE INVEST 2006-AR6</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1</title>
        <cusip>86360UAF3</cusip>
        <identifiers>
          <isin value="US86360UAF30"/>
        </identifiers>
        <balance>14390946.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12495775.390000</valUSD>
        <pctVal>0.8064506</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SEC CORP 2003-BC1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1</title>
        <cusip>86359AMC4</cusip>
        <identifiers>
          <isin value="US86359AMC44"/>
        </identifiers>
        <balance>7111797.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6156913.520000</valUSD>
        <pctVal>0.3973540</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.01838</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>SUNTRUST ALTERNATIVE LN TRUST 2006-1F</name>
        <lei>N/A</lei>
        <title>SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S</title>
        <cusip>86800RAG6</cusip>
        <identifiers>
          <isin value="US86800RAG65"/>
        </identifiers>
        <balance>4632190.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1555641.140000</valUSD>
        <pctVal>0.1003978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.13162</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>SYMPHONY CLO XIV LTD 2014-14A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2014 14A E 144A</title>
        <cusip>87159QAW8</cusip>
        <identifiers>
          <isin value="US87159QAW87"/>
        </identifiers>
        <balance>4400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4200810.900000</valUSD>
        <pctVal>0.2711114</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.90338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYNGENTA FINANCE NV</name>
        <lei>54930042S3BYCEGOCN86</lei>
        <title>SYNGENTA FINANCE NV COMPANY GUAR 144A 04/25 4.892</title>
        <cusip>87164KAG9</cusip>
        <identifiers>
          <isin value="US87164KAG94"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211996.310000</valUSD>
        <pctVal>0.0136818</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.892</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYNGENTA FINANCE NV</name>
        <lei>54930042S3BYCEGOCN86</lei>
        <title>SYNGENTA FINANCE NV COMPANY GUAR 144A 04/28 5.182</title>
        <cusip>87164KAC8</cusip>
        <identifiers>
          <isin value="US87164KAC80"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319218.040000</valUSD>
        <pctVal>0.0206017</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.182</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYNIVERSE HOLDINGS INC</name>
        <lei>549300CYZBHMZC8VLL59</lei>
        <title>SYNIVERSE HLDGS INC FIRST LIEN TERM LOAN B</title>
        <cusip>87164GAM5</cusip>
        <identifiers>
          <isin value="US87164GAM50"/>
        </identifiers>
        <balance>16708422.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15752901.660000</valUSD>
        <pctVal>1.0166586</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.0275</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADT INC (PRIME SECURITY SERVICES BORROWER LLC/PRIME FINANCE INC)</name>
        <lei>N/A</lei>
        <title>PRIME SECSRVC BRW/FINANC SR SECURED 144A 04/26 5.75</title>
        <cusip>74166MAC0</cusip>
        <identifiers>
          <isin value="US74166MAC01"/>
        </identifiers>
        <balance>120000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125256.000000</valUSD>
        <pctVal>0.0080838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TALEN ENERGY SUPPLY LLC (AKA: PPL ENERGY SUPPLY LLC)</name>
        <lei>K5K33XN0PQAU1XF7NN66</lei>
        <title>TALEN ENERGY SUPPLY LLC SR SECURED 144A 01/28 6.625</title>
        <cusip>87422VAG3</cusip>
        <identifiers>
          <isin value="US87422VAG32"/>
        </identifiers>
        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61225.000000</valUSD>
        <pctVal>0.0039513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TANZANIA GOVT</name>
        <lei>N/A</lei>
        <title>MINISTRY OF FINANCE OF TANZANI TERM LOAN A1</title>
        <cusip>933ZBDII7</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="7854129T6"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201896.810000</valUSD>
        <pctVal>0.0130300</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2019-12-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.7408</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TBW MTGE BACKED PASS THRU CERT 2006-2</name>
        <lei>N/A</lei>
        <title>TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1</title>
        <cusip>878048AJ6</cusip>
        <identifiers>
          <isin value="US878048AJ69"/>
        </identifiers>
        <balance>19702343.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9676277.850000</valUSD>
        <pctVal>0.6244863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADVANCED DRAINAGE SYSTEMS INC</name>
        <lei>6QQTOZ5MF5DHM7K92I60</lei>
        <title>ADVANCED DRAINAGE SYSTEM SR SECURED 144A 09/27 5</title>
        <cusip>00790RAA2</cusip>
        <identifiers>
          <isin value="US00790RAA23"/>
        </identifiers>
        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63006.880000</valUSD>
        <pctVal>0.0040663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEKNI-PLEX (TRIDENT TPI HOLDINGS INC)</name>
        <lei>549300TPLK304J3RNC85</lei>
        <title>TRIDENT TPI HOLDINGS INC COMPANY GUAR 144A 08/24 9.25</title>
        <cusip>89616RAB5</cusip>
        <identifiers>
          <isin value="US89616RAB50"/>
        </identifiers>
        <balance>147000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144427.500000</valUSD>
        <pctVal>0.0093210</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TELESAT CANADA / TELESAT LLC</name>
        <lei>N/A</lei>
        <title>TELESAT CANADA/TELESAT L SR UNSECURED 144A 10/27 6.5</title>
        <cusip>87952VAM8</cusip>
        <identifiers>
          <isin value="US87952VAM81"/>
        </identifiers>
        <balance>167000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>170340.000000</valUSD>
        <pctVal>0.0109934</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADVANCED DRAINAGE SYSTEMS INC</name>
        <lei>6QQTOZ5MF5DHM7K92I60</lei>
        <title>ADVANCED DRAINAGE SYSTEMS INC TERM LOAN B</title>
        <cusip>965EYSII7</cusip>
        <identifiers>
          <isin value="US00769QAG82"/>
        </identifiers>
        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62348.750000</valUSD>
        <pctVal>0.0040239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.299</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TENET HEALTHCARE CORPORATION</name>
        <lei>0W9AIBT6U6ADJ2I8HK17</lei>
        <title>TENET HEALTHCARE CORP SR SECURED 144A 01/26 4.875</title>
        <cusip>88033GCY4</cusip>
        <identifiers>
          <isin value="US88033GCY44"/>
        </identifiers>
        <balance>74000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76035.000000</valUSD>
        <pctVal>0.0049071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TENET HEALTHCARE CORPORATION</name>
        <lei>0W9AIBT6U6ADJ2I8HK17</lei>
        <title>TENET HEALTHCARE CORP SR SECURED 144A 09/24 4.625</title>
        <cusip>88033GDC1</cusip>
        <identifiers>
          <isin value="US88033GDC15"/>
        </identifiers>
        <balance>198000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203926.140000</valUSD>
        <pctVal>0.0131610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADVANZ PHARMA CORP (AKA: CONCORDIA INTERNATIONAL CORP)</name>
        <lei>549300WZSXRSISJ4VI31</lei>
        <title>ADVANZ PHARMA CORP 2018 USD TERM LOAN B</title>
        <cusip>964AWKII5</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL2794982"/>
        </identifiers>
        <balance>12584456.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11908042.030000</valUSD>
        <pctVal>0.7685196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-06</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5275</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TESCO PROPERTY FIN 2 PLC</name>
        <lei>2138008F9VZUZWUBZD27</lei>
        <title>TESCO PROPERTY FIN 2 PLC SR SECURED REGS 10/39 6.0517</title>
        <cusip>B41QB0II2</cusip>
        <identifiers>
          <isin value="XS0347919028"/>
        </identifiers>
        <balance>3169616.300000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>5114989.080000</valUSD>
        <pctVal>0.3301105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.0517</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AEGIS ASSET BACKED SEC TR 2004-3</name>
        <lei>N/A</lei>
        <title>AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3</title>
        <cusip>00764MCH8</cusip>
        <identifiers>
          <isin value="US00764MCH88"/>
        </identifiers>
        <balance>740219.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>737511.540000</valUSD>
        <pctVal>0.0475974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.11838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE COMPANY BV</name>
        <lei>549300Q840R30TDKVK53</lei>
        <title>TEVA PHARMACEUT FIN BV COMPANY GUAR 11/21 3.65</title>
        <cusip>88165FAF9</cusip>
        <identifiers>
          <isin value="US88165FAF99"/>
        </identifiers>
        <balance>19000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17646.250000</valUSD>
        <pctVal>0.0011389</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE IV BV</name>
        <lei>549300P1YOE2RRPSGG38</lei>
        <title>TEVA PHARM FIN IV BV COMPANY GUAR 11/21 3.65</title>
        <cusip>88166JAA1</cusip>
        <identifiers>
          <isin value="US88166JAA16"/>
        </identifiers>
        <balance>170000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>157462.500000</valUSD>
        <pctVal>0.0101623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CW</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV</name>
        <lei>549300HSQCIKJAOYIT23</lei>
        <title>TEVA PHARM FNC NL II COMPANY GUAR 04/22 3.25</title>
        <cusip>933THVII5</cusip>
        <identifiers>
          <isin value="XS1812903828"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>812836.130000</valUSD>
        <pctVal>0.0524587</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS II BV</name>
        <lei>549300HSQCIKJAOYIT23</lei>
        <title>TEVA PHARM FNC NL II COMPANY GUAR REGS 07/20 0.375</title>
        <cusip>ACI0NSTB3</cusip>
        <identifiers>
          <isin value="XS1439749109"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>744058.950000</valUSD>
        <pctVal>0.0480200</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
        <lei>5493004T21MOAFINJP35</lei>
        <title>TEVA PHARMACEUTICALS NE COMPANY GUAR 07/21 2.2</title>
        <cusip>88167AAC5</cusip>
        <identifiers>
          <isin value="US88167AAC53"/>
        </identifiers>
        <balance>4092000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3754410.000000</valUSD>
        <pctVal>0.2423016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TEXAS PUBLIC FINANCE AUTHORITY</name>
        <lei>N/A</lei>
        <title>TEXAS ST PUBLIC FIN AUTH TXSGEN 07/24 FIXED 8.25</title>
        <cusip>8827562Q1</cusip>
        <identifiers>
          <isin value="US8827562Q14"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101030.000000</valUSD>
        <pctVal>0.0065203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THEAT</name>
        <lei>N/A</lei>
        <title>WHLNME076 THEAT EXTENSION FEE WHLNME076 THEAT EXTENSION FEE</title>
        <cusip>934LHLII3</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="WHLNME076"/>
        </identifiers>
        <balance>363668.490000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>0.000000</valUSD>
        <pctVal>0.0000000</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THEATRE HOSPITALS PLC 2007-1</name>
        <lei>N/A</lei>
        <title>THEATRE HOSPITALS PLC THEAT 2007 1 A REGS</title>
        <cusip>G8790CAA1</cusip>
        <identifiers>
          <isin value="XS0290917227"/>
        </identifiers>
        <balance>11102313.840000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>12722587.190000</valUSD>
        <pctVal>0.8210886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.76713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THEATRE HOSPITALS PLC 2007-2</name>
        <lei>N/A</lei>
        <title>THEATRE HOSPITALS PLC THEAT 2007 2 A REGS</title>
        <cusip>G8790BAC9</cusip>
        <identifiers>
          <isin value="XS0275389244"/>
        </identifiers>
        <balance>5475727.180000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>6298420.000000</valUSD>
        <pctVal>0.4064866</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.76713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THEATRE HOSPITALS PLC 2007-2</name>
        <lei>N/A</lei>
        <title>THEATRE HOSPITALS PLC THEAT 2007 2 B REGS</title>
        <cusip>G8790BAD7</cusip>
        <identifiers>
          <isin value="XS0275389830"/>
        </identifiers>
        <balance>778698.420000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>881809.850000</valUSD>
        <pctVal>0.0569101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.51713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOBACCO SETTLEMENT FINANCE AUTHORITY</name>
        <lei>N/A</lei>
        <title>TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0</title>
        <cusip>88880LAB9</cusip>
        <identifiers>
          <isin value="US88880LAB99"/>
        </identifiers>
        <balance>95900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6258434.000000</valUSD>
        <pctVal>0.4039060</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-01</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOLL ROAD INVESTORS PARTNERSHIP II LP</name>
        <lei>N/A</lei>
        <title>TOLL ROAD INV PART II SR SECURED 144A 02/45 0.00000</title>
        <cusip>88948ABL0</cusip>
        <identifiers>
          <isin value="US88948ABL08"/>
        </identifiers>
        <balance>6425570.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1778433.930000</valUSD>
        <pctVal>0.1147763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-15</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOPAZ SOLAR FARMS LLC</name>
        <lei>N/A</lei>
        <title>TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875</title>
        <cusip>89054XAB1</cusip>
        <identifiers>
          <isin value="US89054XAB10"/>
        </identifiers>
        <balance>4712554.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4919801.790000</valUSD>
        <pctVal>0.3175135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOPAZ SOLAR FARMS LLC</name>
        <lei>N/A</lei>
        <title>TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75</title>
        <cusip>89054XAA3</cusip>
        <identifiers>
          <isin value="US89054XAA37"/>
        </identifiers>
        <balance>11781461.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13235599.190000</valUSD>
        <pctVal>0.8541973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TP ICAP PLC</name>
        <lei>5493009UWRK48KKUD358</lei>
        <title>TP ICAP PLC COMPANY GUAR REGS 01/24 5.25</title>
        <cusip>ACI0S0XS7</cusip>
        <identifiers>
          <isin value="XS1555815494"/>
        </identifiers>
        <balance>6198000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>8171758.460000</valUSD>
        <pctVal>0.5273878</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRANSOCEAN INC</name>
        <lei>DOL4HJ22ADYSIWES4H94</lei>
        <title>TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25</title>
        <cusip>893830BK4</cusip>
        <identifiers>
          <isin value="US893830BK41"/>
        </identifiers>
        <balance>212000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187620.000000</valUSD>
        <pctVal>0.0121086</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRANSOCEAN PONTUS LIMITED</name>
        <lei>N/A</lei>
        <title>TRANSOCEAN PONTUS LTD SR SECURED 144A 08/25 6.125</title>
        <cusip>89382PAA3</cusip>
        <identifiers>
          <isin value="US89382PAA30"/>
        </identifiers>
        <balance>357780.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364935.610000</valUSD>
        <pctVal>0.0235522</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRANSOCEAN POSEIDON LIMITED</name>
        <lei>N/A</lei>
        <title>TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875</title>
        <cusip>89383JAA6</cusip>
        <identifiers>
          <isin value="US89383JAA60"/>
        </identifiers>
        <balance>320000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331200.000000</valUSD>
        <pctVal>0.0213749</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRANSOCEAN SENTRY LTD</name>
        <lei>N/A</lei>
        <title>TRANSOCEAN SENTRY LTD SR SECURED 144A 05/23 5.375</title>
        <cusip>89385AAA3</cusip>
        <identifiers>
          <isin value="US89385AAA34"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>300750.000000</valUSD>
        <pctVal>0.0194098</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
        <lei>5493007L6S47Q14SL582</lei>
        <title>TRIUMPH GROUP INC COMPANY GUAR 04/21 4.875</title>
        <cusip>896818AH4</cusip>
        <identifiers>
          <isin value="US896818AH46"/>
        </identifiers>
        <balance>227000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>227465.350000</valUSD>
        <pctVal>0.0146801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
        <lei>5493007L6S47Q14SL582</lei>
        <title>TRIUMPH GROUP INC COMPANY GUAR 06/22 5.25</title>
        <cusip>896818AL5</cusip>
        <identifiers>
          <isin value="US896818AL57"/>
        </identifiers>
        <balance>84000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83966.400000</valUSD>
        <pctVal>0.0054190</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
        <lei>5493007L6S47Q14SL582</lei>
        <title>TRIUMPH GROUP INC SECURED 144A 09/24 6.25</title>
        <cusip>896818AQ4</cusip>
        <identifiers>
          <isin value="US896818AQ45"/>
        </identifiers>
        <balance>134000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139721.800000</valUSD>
        <pctVal>0.0090173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIVIUM PACKAGING FINANCE BV</name>
        <lei>724500GMZWW3PVYET548</lei>
        <title>TRIVIUM PACKAGING FIN COMPANY GUAR 144A 08/27 8.5</title>
        <cusip>89686QAB2</cusip>
        <identifiers>
          <isin value="US89686QAB23"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325125.000000</valUSD>
        <pctVal>0.0209829</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIVIUM PACKAGING FINANCE BV</name>
        <lei>724500GMZWW3PVYET548</lei>
        <title>TRIVIUM PACKAGING FIN SR SECURED 144A 08/26 3.75</title>
        <cusip>ACI1DF8P2</cusip>
        <identifiers>
          <isin value="XS2034069752"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>231205.710000</valUSD>
        <pctVal>0.0149215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRIVIUM PACKAGING FINANCE BV</name>
        <lei>724500GMZWW3PVYET548</lei>
        <title>TRIVIUM PACKAGING FIN SR SECURED 144A 08/26 5.5</title>
        <cusip>89686QAA4</cusip>
        <identifiers>
          <isin value="US89686QAA40"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1475180.000000</valUSD>
        <pctVal>0.0952050</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TROPIC CDO CORP 2006-5A</name>
        <lei>N/A</lei>
        <title>TROPIC CDO CORP TROPC 2006 5A A1L2 144A</title>
        <cusip>89708BAB9</cusip>
        <identifiers>
          <isin value="US89708BAB99"/>
        </identifiers>
        <balance>4415187.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3946073.590000</valUSD>
        <pctVal>0.2546712</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.62338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TURKEY GOVT</name>
        <lei>5493000PCHOG3B6S3Q85</lei>
        <title>REPUBLIC OF TURKEY SR UNSECURED 02/26 5.2</title>
        <cusip>933RXJII8</cusip>
        <identifiers>
          <isin value="XS1909184753"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1708825.760000</valUSD>
        <pctVal>0.1102840</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TURKEY GOVT</name>
        <lei>5493000PCHOG3B6S3Q85</lei>
        <title>REPUBLIC OF TURKEY SR UNSECURED 03/25 4.625</title>
        <cusip>900123CU2</cusip>
        <identifiers>
          <isin value="XS1843443356"/>
        </identifiers>
        <balance>4900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>5491825.260000</valUSD>
        <pctVal>0.3544307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TURKEY GOVT</name>
        <lei>5493000PCHOG3B6S3Q85</lei>
        <title>REPUBLIC OF TURKEY SR UNSECURED 04/29 7.625</title>
        <cusip>900123CT5</cusip>
        <identifiers>
          <isin value="US900123CT57"/>
        </identifiers>
        <balance>6400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6816608.000000</valUSD>
        <pctVal>0.4399293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TURKEY GOVT</name>
        <lei>5493000PCHOG3B6S3Q85</lei>
        <title>REPUBLIC OF TURKEY SR UNSECURED 06/25 3.25</title>
        <cusip>ACI0VN7N3</cusip>
        <identifiers>
          <isin value="XS1629918415"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>315168.840000</valUSD>
        <pctVal>0.0203403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNICREDIT SPA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UNICREDIT SPA SR UNSECURED 144A 12/23 7.83</title>
        <cusip>904678AG4</cusip>
        <identifiers>
          <isin value="US904678AG48"/>
        </identifiers>
        <balance>9200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10793934.960000</valUSD>
        <pctVal>0.6966175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.83</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIGEL LUXEMBOURG SA</name>
        <lei>N/A</lei>
        <title>UNIGEL LUXEMBOURG SA 10/26 8.75</title>
        <cusip>904752AB8</cusip>
        <identifiers>
          <isin value="US904752AB83"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1000000.000000</valUSD>
        <pctVal>0.0645379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIGEL LUXEMBOURG SA</name>
        <lei>N/A</lei>
        <title>UNIGEL LUXEMBOURG SA SR SECURED 144A 01/24 10.5</title>
        <cusip>904752AA0</cusip>
        <identifiers>
          <isin value="US904752AA01"/>
        </identifiers>
        <balance>1470000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1618837.500000</valUSD>
        <pctVal>0.1044763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIQUE PUB FINANCE CO PLC</name>
        <lei>213800FOMWLKHQTI5562</lei>
        <title>UNIQUE PUB FINANCE CO SR SECURED REGS 06/27 5.659</title>
        <cusip>743541II7</cusip>
        <identifiers>
          <isin value="XS0154960537"/>
        </identifiers>
        <balance>1606626.070000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2250889.920000</valUSD>
        <pctVal>0.1452676</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.659</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 10/19 0.00000</title>
        <cusip>912796WA3</cusip>
        <identifiers>
          <isin value="US912796WA30"/>
        </identifiers>
        <balance>10614000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10602845.000000</valUSD>
        <pctVal>0.6842850</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-10-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 11/19 0.00000</title>
        <cusip>912796RM3</cusip>
        <identifiers>
          <isin value="US912796RM33"/>
        </identifiers>
        <balance>3248000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3242280.500000</valUSD>
        <pctVal>0.2092499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-11-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 11/19 0.00000</title>
        <cusip>912796ST7</cusip>
        <identifiers>
          <isin value="US912796ST76"/>
        </identifiers>
        <balance>1585000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1580975.080000</valUSD>
        <pctVal>0.1020328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 12/19 0.00000</title>
        <cusip>912796RN1</cusip>
        <identifiers>
          <isin value="US912796RN16"/>
        </identifiers>
        <balance>940000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>936985.300000</valUSD>
        <pctVal>0.0604710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-12-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 12/19 0.00000</title>
        <cusip>912796SY6</cusip>
        <identifiers>
          <isin value="US912796SY61"/>
        </identifiers>
        <balance>364000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>362449.290000</valUSD>
        <pctVal>0.0233917</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-12-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALBA PLC 2006-2</name>
        <lei>N/A</lei>
        <title>ALBA PLC ALBA 2006 2 C REGS</title>
        <cusip>ACI021MF3</cusip>
        <identifiers>
          <isin value="XS0271530544"/>
        </identifiers>
        <balance>7843200.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>8705061.320000</valUSD>
        <pctVal>0.5618061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.04138</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIVISION COMMUNICATIONS INC</name>
        <lei>549300YQDE2JSGTL8V47</lei>
        <title>UNIVISION COMMUNICATIONS 2017 REPLACEMENT REPRICED NEW</title>
        <cusip>914908AX6</cusip>
        <identifiers>
          <isin value="US914908AX63"/>
        </identifiers>
        <balance>8980274.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8742934.740000</valUSD>
        <pctVal>0.5642503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.7935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIVISION COMMUNICATIONS INC</name>
        <lei>549300YQDE2JSGTL8V47</lei>
        <title>UNIVISION COMMUNICATIONS SR SECURED 144A 02/25 5.125</title>
        <cusip>914906AS1</cusip>
        <identifiers>
          <isin value="US914906AS13"/>
        </identifiers>
        <balance>1747000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1707692.500000</valUSD>
        <pctVal>0.1102108</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNIVISION COMMUNICATIONS INC</name>
        <lei>549300YQDE2JSGTL8V47</lei>
        <title>UNIVISION COMMUNICATIONS SR SECURED 144A 05/23 5.125</title>
        <cusip>914906AR3</cusip>
        <identifiers>
          <isin value="US914906AR30"/>
        </identifiers>
        <balance>1482000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1485705.000000</valUSD>
        <pctVal>0.0958842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>US RENAL CARE INC</name>
        <lei>N/A</lei>
        <title>BCPE CYCLE MERGER SUB II SR UNSECURED 144A 07/27 10.625</title>
        <cusip>07335BAA4</cusip>
        <identifiers>
          <isin value="US07335BAA44"/>
        </identifiers>
        <balance>196000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189630.000000</valUSD>
        <pctVal>0.0122383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>US RENAL CARE INC</name>
        <lei>N/A</lei>
        <title>U.S. RENAL CARE, INC. 2019 TERM LOAN B</title>
        <cusip>90290PAN4</cusip>
        <identifiers>
          <isin value="US90290PAN42"/>
        </identifiers>
        <balance>288000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>273839.900000</valUSD>
        <pctVal>0.0176730</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.0625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VALARIS PLC</name>
        <lei>7N0UJMJLXD0MDT5D5086</lei>
        <title>VALARIS PLC SR UNSECURED 10/44 5.75</title>
        <cusip>91889DAF3</cusip>
        <identifiers>
          <isin value="US91889DAF33"/>
        </identifiers>
        <balance>132000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56760.000000</valUSD>
        <pctVal>0.0036632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VALE OVERSEAS LTD</name>
        <lei>254900BA3U6G5DNV5V04</lei>
        <title>VALE OVERSEAS LIMITED COMPANY GUAR 08/26 6.25</title>
        <cusip>91911TAP8</cusip>
        <identifiers>
          <isin value="US91911TAP84"/>
        </identifiers>
        <balance>536000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>620420.000000</valUSD>
        <pctVal>0.0400406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VALE OVERSEAS LTD</name>
        <lei>254900BA3U6G5DNV5V04</lei>
        <title>VALE OVERSEAS LIMITED COMPANY GUAR 11/36 6.875</title>
        <cusip>91911TAH6</cusip>
        <identifiers>
          <isin value="US91911TAH68"/>
        </identifiers>
        <balance>333000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>423576.000000</valUSD>
        <pctVal>0.0273367</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VALE OVERSEAS LTD</name>
        <lei>254900BA3U6G5DNV5V04</lei>
        <title>VALE OVERSEAS LIMITED COMPANY GUAR 11/39 6.875</title>
        <cusip>91911TAK9</cusip>
        <identifiers>
          <isin value="US91911TAK97"/>
        </identifiers>
        <balance>110000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140663.600000</valUSD>
        <pctVal>0.0090781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENEZUELAN GOVT</name>
        <lei>529900XM8PJTJK5OJI77</lei>
        <title>REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25</title>
        <cusip>922646AS3</cusip>
        <identifiers>
          <isin value="US922646AS37"/>
        </identifiers>
        <balance>734000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82575.000000</valUSD>
        <pctVal>0.0053292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>VE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>9.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENEZUELAN GOVT</name>
        <lei>529900XM8PJTJK5OJI77</lei>
        <title>REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25</title>
        <cusip>P97475AP5</cusip>
        <identifiers>
          <isin value="USP97475AP55"/>
        </identifiers>
        <balance>136000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15300.000000</valUSD>
        <pctVal>0.0009874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>VE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENEZUELAN GOVT</name>
        <lei>529900XM8PJTJK5OJI77</lei>
        <title>REPUBLIC OF VENEZUELA SR UNSECURED REGS 12/20 6</title>
        <cusip>P97475AG5</cusip>
        <identifiers>
          <isin value="USP97475AG56"/>
        </identifiers>
        <balance>590000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66375.000000</valUSD>
        <pctVal>0.0042837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>VE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VFH PARENT LLC</name>
        <lei>549300FRO9M476YHHY64</lei>
        <title>VFH PARENT LLC 2019 TERM LOAN B</title>
        <cusip>91820UAQ3</cusip>
        <identifiers>
          <isin value="US91820UAQ31"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100322.900000</valUSD>
        <pctVal>0.0064746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0437</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VIASAT INC</name>
        <lei>UFC8NYMNFSYIHNSM2I38</lei>
        <title>VIASAT INC SR SECURED 144A 04/27 5.625</title>
        <cusip>92552VAL4</cusip>
        <identifiers>
          <isin value="US92552VAL45"/>
        </identifiers>
        <balance>113000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118932.500000</valUSD>
        <pctVal>0.0076756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VIASAT INC</name>
        <lei>UFC8NYMNFSYIHNSM2I38</lei>
        <title>VIASAT INC SR UNSECURED 144A 09/25 5.625</title>
        <cusip>92552VAK6</cusip>
        <identifiers>
          <isin value="US92552VAK61"/>
        </identifiers>
        <balance>218000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220725.000000</valUSD>
        <pctVal>0.0142451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VIRGIN MEDIA SECURED FINANCE PLC</name>
        <lei>213800X3RLP4NOTPY579</lei>
        <title>VIRGIN MEDIA SECURED FIN SR SECURED 144A 05/29 5.5</title>
        <cusip>92769XAP0</cusip>
        <identifiers>
          <isin value="US92769XAP06"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209000.000000</valUSD>
        <pctVal>0.0134884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VOC ESCROW LTD</name>
        <lei>N/A</lei>
        <title>VOC ESCROW LTD SR SECURED 144A 02/28 5</title>
        <cusip>91832VAA2</cusip>
        <identifiers>
          <isin value="US91832VAA26"/>
        </identifiers>
        <balance>67000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69519.200000</valUSD>
        <pctVal>0.0044866</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VOYAGER AVIATION HOLDINGS LLC / VOYAGER FINANCE CO</name>
        <lei>N/A</lei>
        <title>VOYAGER AVIATION HLDS SR UNSECURED 144A 08/21 8.5</title>
        <cusip>46122XAG8</cusip>
        <identifiers>
          <isin value="US46122XAG88"/>
        </identifiers>
        <balance>9900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10182150.000000</valUSD>
        <pctVal>0.6571342</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3</title>
        <cusip>92925VAK6</cusip>
        <identifiers>
          <isin value="US92925VAK61"/>
        </identifiers>
        <balance>393631.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>378789.550000</valUSD>
        <pctVal>0.0244463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.94082</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>WAMU MTGE P/T CERT 2007-HY3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3</title>
        <cusip>933634AG2</cusip>
        <identifiers>
          <isin value="US933634AG24"/>
        </identifiers>
        <balance>3289509.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3206883.670000</valUSD>
        <pctVal>0.2069654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.89207</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>WAMU MTGE P/T CERT 2007-OA5</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B</title>
        <cusip>93364BAB6</cusip>
        <identifiers>
          <isin value="US93364BAB62"/>
        </identifiers>
        <balance>3530341.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1259504.820000</valUSD>
        <pctVal>0.0812857</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.19605</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>WASHING MUTUAL MTGE P/T 2006-5</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1</title>
        <cusip>93934NAA3</cusip>
        <identifiers>
          <isin value="US93934NAA37"/>
        </identifiers>
        <balance>6013347.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4064978.880000</valUSD>
        <pctVal>0.2623450</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.61838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1</title>
        <cusip>92922FTJ7</cusip>
        <identifiers>
          <isin value="US92922FTJ74"/>
        </identifiers>
        <balance>204162.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203408.660000</valUSD>
        <pctVal>0.0131276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.43838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A</title>
        <cusip>93363RAA4</cusip>
        <identifiers>
          <isin value="US93363RAA41"/>
        </identifiers>
        <balance>388629.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>371230.710000</valUSD>
        <pctVal>0.0239584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.32605</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2007-OA6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A</title>
        <cusip>92927BAA0</cusip>
        <identifiers>
          <isin value="US92927BAA08"/>
        </identifiers>
        <balance>18693144.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17195195.240000</valUSD>
        <pctVal>1.1097412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25605</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2007-OA6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A</title>
        <cusip>92927BAC6</cusip>
        <identifiers>
          <isin value="US92927BAC63"/>
        </identifiers>
        <balance>685986.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>582333.990000</valUSD>
        <pctVal>0.0375826</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.405</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6</title>
        <cusip>93936JAF9</cusip>
        <identifiers>
          <isin value="US93936JAF93"/>
        </identifiers>
        <balance>3130028.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3034953.950000</valUSD>
        <pctVal>0.1958694</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MTGE P/T 2007-OC1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1</title>
        <cusip>93936FAA8</cusip>
        <identifiers>
          <isin value="US93936FAA84"/>
        </identifiers>
        <balance>10504322.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9729694.150000</valUSD>
        <pctVal>0.6279337</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.25838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN 2007-PA4</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1</title>
        <cusip>94984UAE6</cusip>
        <identifiers>
          <isin value="US94984UAE64"/>
        </identifiers>
        <balance>2996498.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2868965.580000</valUSD>
        <pctVal>0.1851569</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.90819</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1</title>
        <cusip>94985GAA4</cusip>
        <identifiers>
          <isin value="US94985GAA40"/>
        </identifiers>
        <balance>328768.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>320940.410000</valUSD>
        <pctVal>0.0207128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALLY FINANCIAL INC</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>ALLY FINANCIAL INC COMPANY GUAR 11/31 8</title>
        <cusip>36186CBY8</cusip>
        <identifiers>
          <isin value="US36186CBY84"/>
        </identifiers>
        <balance>7000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9712.500000</valUSD>
        <pctVal>0.0006268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A</title>
        <cusip>94987TAE6</cusip>
        <identifiers>
          <isin value="US94987TAE64"/>
        </identifiers>
        <balance>11357938.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10810137.350000</valUSD>
        <pctVal>0.6976632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.21987</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BACKED SEC 2006-8</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 8 A15</title>
        <cusip>94983SAS1</cusip>
        <identifiers>
          <isin value="US94983SAS14"/>
        </identifiers>
        <balance>11728.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11959.630000</valUSD>
        <pctVal>0.0007718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BACKED SEC 2007-4</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 4 A15</title>
        <cusip>94985RAQ5</cusip>
        <identifiers>
          <isin value="US94985RAQ56"/>
        </identifiers>
        <balance>17138.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17047.890000</valUSD>
        <pctVal>0.0011002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BACKED SEC 2007-4</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 4 A3</title>
        <cusip>94985RAC6</cusip>
        <identifiers>
          <isin value="US94985RAC60"/>
        </identifiers>
        <balance>24969.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24957.860000</valUSD>
        <pctVal>0.0016107</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BACKED SEC 2007-7</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38</title>
        <cusip>94985JBP4</cusip>
        <identifiers>
          <isin value="US94985JBP49"/>
        </identifiers>
        <balance>91588.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92299.690000</valUSD>
        <pctVal>0.0059568</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BACKED SEC 2007-7</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6</title>
        <cusip>94985JAF7</cusip>
        <identifiers>
          <isin value="US94985JAF75"/>
        </identifiers>
        <balance>88900.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89590.580000</valUSD>
        <pctVal>0.0057820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WEST CORPORATION</name>
        <lei>5493005Z5DB0O5S30R71</lei>
        <title>OLYMPUS MERGER SUB INC TERM LOAN B</title>
        <cusip>68162RAC5</cusip>
        <identifiers>
          <isin value="US68162RAC51"/>
        </identifiers>
        <balance>70451.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62936.620000</valUSD>
        <pctVal>0.0040618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0435</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND COAL CO PIK TERM LOAN</title>
        <cusip>96106JAE9</cusip>
        <identifiers>
          <isin value="US96106JAE91"/>
        </identifiers>
        <balance>21774.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16548.540000</valUSD>
        <pctVal>0.0010680</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>15</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND MNG HLDGS LLC INITIAL TERM LOANS</title>
        <cusip>96106JAB5</cusip>
        <identifiers>
          <isin value="US96106JAB52"/>
        </identifiers>
        <balance>9100.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9191.270000</valUSD>
        <pctVal>0.0005932</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>10.3894</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WHATABURGER (WHATABRANDS LLC)</name>
        <lei>N/A</lei>
        <title>WHATABRANDS LLC TERM LOAN B</title>
        <cusip>96244UAB3</cusip>
        <identifiers>
          <isin value="US96244UAB35"/>
        </identifiers>
        <balance>63000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63365.650000</valUSD>
        <pctVal>0.0040895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.5156</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WHLN - SV PORTFOLIO</name>
        <lei>N/A</lei>
        <title>PREYLOCK REITMAN SANTA CRUZ TERM LOAN</title>
        <cusip>933BWMII7</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="WHLNY1196"/>
        </identifiers>
        <balance>5540000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5572442.240000</valUSD>
        <pctVal>0.3596335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5371</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)</name>
        <lei>T4VNTWMFQ7JQB65L7T35</lei>
        <title>WYNDHAM DESTINATIONS INC SR SECURED 03/22 4.25</title>
        <cusip>98310WAJ7</cusip>
        <identifiers>
          <isin value="US98310WAJ71"/>
        </identifiers>
        <balance>6000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6135.000000</valUSD>
        <pctVal>0.0003959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)</name>
        <lei>T4VNTWMFQ7JQB65L7T35</lei>
        <title>WYNDHAM DESTINATIONS INC SR SECURED 03/23 3.9</title>
        <cusip>98310WAL2</cusip>
        <identifiers>
          <isin value="US98310WAL28"/>
        </identifiers>
        <balance>204000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207442.500000</valUSD>
        <pctVal>0.0133879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)</name>
        <lei>T4VNTWMFQ7JQB65L7T35</lei>
        <title>WYNDHAM DESTINATIONS INC SR SECURED 04/24 5.4</title>
        <cusip>98310WAP3</cusip>
        <identifiers>
          <isin value="US98310WAP32"/>
        </identifiers>
        <balance>50000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53000.000000</valUSD>
        <pctVal>0.0034205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALLY FINANCIAL INC</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>ALLY FINANCIAL INC SR UNSECURED 11/31 8</title>
        <cusip>370425RZ5</cusip>
        <identifiers>
          <isin value="US370425RZ53"/>
        </identifiers>
        <balance>3000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4147.500000</valUSD>
        <pctVal>0.0002677</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTERNATIVE LOAN TRUST 2006-27CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7</title>
        <cusip>02147YAG0</cusip>
        <identifiers>
          <isin value="US02147YAG08"/>
        </identifiers>
        <balance>332816.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>284825.680000</valUSD>
        <pctVal>0.0183820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>610000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>610000.000000</valUSD>
        <pctVal>0.0393681</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.5000000</repurchaseRt>
          <maturityDt>2019-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>620000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>626214.260000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-939519.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1023858.330000</valUSD>
        <pctVal>0.0660776</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.4000000</repurchaseRt>
          <maturityDt>2019-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1050000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1083057.150000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-8413300.750000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-9166554.010000</valUSD>
        <pctVal>0.5915898</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.3000000</repurchaseRt>
          <maturityDt>2019-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9450000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>9747514.350000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-5531264.500000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-6028223.200000</valUSD>
        <pctVal>0.3890486</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.1270000</repurchaseRt>
          <maturityDt>2019-10-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6174814.140000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>6131685.570000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-1052057.310000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1146623.280000</valUSD>
        <pctVal>0.0740006</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.0770000</repurchaseRt>
          <maturityDt>2019-10-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1285689.900000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1231009.640000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-1047446.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1141219.230000</valUSD>
        <pctVal>0.0736519</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2000000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1200000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1176000.000000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-667100.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-726798.810000</valUSD>
        <pctVal>0.0469060</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.3000000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>700000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>780229.800000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-1552252.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1691282.150000</valUSD>
        <pctVal>0.1091517</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2500000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1717000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1825581.360000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTU008"/>
        </identifiers>
        <balance>-5297159.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-5772519.460000</valUSD>
        <pctVal>0.3725461</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.1500000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6400000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>6606402.900000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-3526949.030000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-4344573.580000</valUSD>
        <pctVal>0.2803895</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9000000</repurchaseRt>
          <maturityDt>2019-10-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3169616.290000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>4160051.300000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-616039.230000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-758828.120000</valUSD>
        <pctVal>0.0489731</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-10-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>680000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>720413.080000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-7991848.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-9842903.450000</valUSD>
        <pctVal>0.6352400</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9000000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>10090000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>9729874.230000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-5955228.490000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-7331476.540000</valUSD>
        <pctVal>0.4731578</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6418000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>6857833.430000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-6784325.280000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-8341880.980000</valUSD>
        <pctVal>0.5383672</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-10-30</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>7301249.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>7798565.230000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-299608.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-368384.910000</valUSD>
        <pctVal>0.0237748</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="N/A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.2000000</repurchaseRt>
          <maturityDt>2019-11-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1000000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>388123.000000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-3148626.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-3876159.370000</valUSD>
        <pctVal>0.2501590</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9000000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4110000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>3954814.620000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-5625608.530000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-6925246.750000</valUSD>
        <pctVal>0.4469406</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-11-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6255000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>6626740.910000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-35995820.380000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-44289979.810000</valUSD>
        <pctVal>2.8583806</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>40273000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>42707792.550000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-1099712.020000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1352612.830000</valUSD>
        <pctVal>0.0872947</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-12-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1200000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>1278848.400000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTICE FINANCING SA</name>
        <lei>549300DIYGW8HVDF7Q17</lei>
        <title>ALTICE FINANCING SA SR SECURED 144A 05/26 7.5</title>
        <cusip>02154CAE3</cusip>
        <identifiers>
          <isin value="US02154CAE30"/>
        </identifiers>
        <balance>6360000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6773336.400000</valUSD>
        <pctVal>0.4371367</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO MORGAN STANLEY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLU000"/>
        </identifiers>
        <balance>-22554000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-22689788.180000</valUSD>
        <pctVal>1.4643504</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G1MLHIS0N32I3QPILB75" name="Morgan Stanley Bank, National Association"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.5531300</repurchaseRt>
          <maturityDt>2020-05-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>32734030.580000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>30891757.970000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NATEXIS BANQUE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="922VXD003"/>
        </identifiers>
        <balance>-32747999.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-32908219.570000</valUSD>
        <pctVal>2.1238262</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="4EP6JBYBTPTQ47LZOB67" name="BNY Mellon"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0900000</repurchaseRt>
          <maturityDt>2019-11-05</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>44707855.280000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>39386395.900000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NATEXIS BANQUE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="922VXD003"/>
        </identifiers>
        <balance>-11911000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-11944376.610000</valUSD>
        <pctVal>0.7708645</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="4EP6JBYBTPTQ47LZOB67" name="BNY Mellon"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9670000</repurchaseRt>
          <maturityDt>2019-11-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>15047221.230000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>14483257.400000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-3750000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3757700.000000</valUSD>
        <pctVal>0.2425139</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6400000</repurchaseRt>
          <maturityDt>2019-10-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4206000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4173497.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-12312000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-12335071.530000</valUSD>
        <pctVal>0.7960792</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6000000</repurchaseRt>
          <maturityDt>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>13682033.500000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13576419.770000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-5015000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5021594.720000</valUSD>
        <pctVal>0.3240830</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6300000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5100000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5408500.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-4292000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4297686.900000</valUSD>
        <pctVal>0.2773635</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6500000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4236000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4409120.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-3642000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3655582.630000</valUSD>
        <pctVal>0.2359235</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7400000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3940000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4196669.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-16887000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-16946620.490000</valUSD>
        <pctVal>1.0936987</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1000000</repurchaseRt>
          <maturityDt>2019-11-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>21919477.700000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>22304874.990000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-64020000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-64180834.240000</valUSD>
        <pctVal>4.1420939</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.4785000</repurchaseRt>
          <maturityDt>2020-03-05</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>83250500.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>81619712.780000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-24480000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-24522516.290000</valUSD>
        <pctVal>1.5826308</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.6778800</repurchaseRt>
          <maturityDt>2020-12-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>31575000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>31351809.670000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-645000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-646836.110000</valUSD>
        <pctVal>0.0417454</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300LCO2FLSSVFFR64" name="RBC Capital Markets, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4400000</repurchaseRt>
          <maturityDt>2019-10-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>604000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>681988.730000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-766000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-769578.280000</valUSD>
        <pctVal>0.0496669</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300LCO2FLSSVFFR64" name="RBC Capital Markets, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5100000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>756000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>815667.580000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-19993000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-20079536.370000</valUSD>
        <pctVal>1.2958904</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300LCO2FLSSVFFR64" name="RBC Capital Markets, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1800000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>40392018.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>27520585.690000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-7013000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7035784.460000</valUSD>
        <pctVal>0.4540745</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300XWG7K5S2JIV532" name="Royal Bank of Canada"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7200000</repurchaseRt>
          <maturityDt>2019-11-19</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>11922895.410000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>8736200.650000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-20286000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-20318554.900000</valUSD>
        <pctVal>1.3113161</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.8886300</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>27814204.500000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>27324702.320000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-2038000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2044324.600000</valUSD>
        <pctVal>0.1319363</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6600000</repurchaseRt>
          <maturityDt>2019-10-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2430600.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2160983.870000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-10458000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-10511595.730000</valUSD>
        <pctVal>0.6783959</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2367500</repurchaseRt>
          <maturityDt>2019-11-05</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12322658.610000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13303942.550000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-5371000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5379369.810000</valUSD>
        <pctVal>0.3471730</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5500000</repurchaseRt>
          <maturityDt>2019-11-08</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5512000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5904531.840000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-1426000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1431045.270000</valUSD>
        <pctVal>0.0923566</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7100000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1157127.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1213808.230000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-8643000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-8679765.710000</valUSD>
        <pctVal>0.5601735</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1252500</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12803960.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>11843899.870000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-30879000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-31007672.800000</valUSD>
        <pctVal>2.0011689</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1252500</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>46855319.700000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>39907044.830000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-17634000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-17675541.250000</valUSD>
        <pctVal>1.1407417</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6500000</repurchaseRt>
          <maturityDt>2019-11-26</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>19854000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>19849993.050000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-11343000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-11360169.060000</valUSD>
        <pctVal>0.7331610</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0272500</repurchaseRt>
          <maturityDt>2019-12-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>16477353.750000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>14575817.990000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-4905000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4921905.900000</valUSD>
        <pctVal>0.3176493</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6400000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5638000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5474767.300000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-3147000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3156935.080000</valUSD>
        <pctVal>0.2037418</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7060000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3500000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3737437.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2558000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2559063.700000</valUSD>
        <pctVal>0.1651565</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4950000</repurchaseRt>
          <maturityDt>2019-10-28</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2746000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2859959.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-492000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-494020.480000</valUSD>
        <pctVal>0.0318830</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6400000</repurchaseRt>
          <maturityDt>2019-11-06</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>550000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>563321.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-23795000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-23827275.280000</valUSD>
        <pctVal>1.5377614</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5700000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>30952000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>26764067.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-21773000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-21827844.140000</valUSD>
        <pctVal>1.4087224</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6100000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>22423579.280000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>24221216.060000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-21446000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-21509503.980000</valUSD>
        <pctVal>1.3881774</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6000000</repurchaseRt>
          <maturityDt>2019-11-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>25364000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>23771509.550000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-5898000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5916136.350000</valUSD>
        <pctVal>0.3818148</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7000000</repurchaseRt>
          <maturityDt>2019-11-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5717862.750000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>6511238.220000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-34066000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-34084925.550000</valUSD>
        <pctVal>2.1997682</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5000000</repurchaseRt>
          <maturityDt>2021-09-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>40486000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>43506732.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO/REGIONS BANK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="930ZZC004"/>
        </identifiers>
        <balance>-2391000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2397229.880000</valUSD>
        <pctVal>0.1547121</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="EQTWLK1G7ODGC2MGLV11" name="REGIONS BANK"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6800000</repurchaseRt>
          <maturityDt>2019-11-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2816501.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTICE FRANCE SA (AKA: SFR GROUP SA)</name>
        <lei>5493001ZMCICV4N02J21</lei>
        <title>ALTICE FRANCE SA SR SECURED 144A 02/27 5.875</title>
        <cusip>ACI13Z7Y1</cusip>
        <identifiers>
          <isin value="XS1859337682"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1087849.020000</valUSD>
        <pctVal>0.0702075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NUD004"/>
        </identifiers>
        <balance>-5692680.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-6204712.490000</valUSD>
        <pctVal>0.4004389</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.1500000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>17338906.620000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>8402087.370000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NUD004"/>
        </identifiers>
        <balance>-1064370.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1160105.580000</valUSD>
        <pctVal>0.0748707</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.1500000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3000000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1192764.000000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO JPM CHASE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLQ009"/>
        </identifiers>
        <balance>-5058710.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5061407.980000</valUSD>
        <pctVal>0.3266525</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="ZBUT11V806EZRVTWT807" name="J.P. MORGAN SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4000000</repurchaseRt>
          <maturityDt>2019-10-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>16335000.000000</principalAmt>
              <principalCd>PEN</principalCd>
              <collateralVal>18838744.660000</collateralVal>
              <collateralCd>PEN</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO JPM CHASE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLQ009"/>
        </identifiers>
        <balance>-3844763.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3846813.540000</valUSD>
        <pctVal>0.2482651</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="K6Q0W1PS1L1O4IQL9C32" name="JP MORGAN SECURITIES PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4000000</repurchaseRt>
          <maturityDt>2019-10-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12441000.000000</principalAmt>
              <principalCd>PEN</principalCd>
              <collateralVal>14313718.960000</collateralVal>
              <collateralCd>PEN</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWG004"/>
        </identifiers>
        <balance>-1201112.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1478207.100000</valUSD>
        <pctVal>0.0954003</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.0000000</repurchaseRt>
          <maturityDt>2019-10-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1196000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>1418007.500000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWG004"/>
        </identifiers>
        <balance>-8228545.810000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-10145393.150000</valUSD>
        <pctVal>0.6547620</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.5830000</repurchaseRt>
          <maturityDt>2019-10-29</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>11102313.780000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>10347356.440000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>ABS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWG004"/>
        </identifiers>
        <balance>-2199120.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-2708194.650000</valUSD>
        <pctVal>0.1747811</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.0500000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2640000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>2729205.600000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWG004"/>
        </identifiers>
        <balance>-1541959.500000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1897599.150000</valUSD>
        <pctVal>0.1224670</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.9500000</repurchaseRt>
          <maturityDt>2019-11-28</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1700000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>1801032.700000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWH002"/>
        </identifiers>
        <balance>-2216256.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-2415252.980000</valUSD>
        <pctVal>0.1558753</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2500000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2400000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>2571048.000000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWH002"/>
        </identifiers>
        <balance>-1071102.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1167061.850000</valUSD>
        <pctVal>0.0753197</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2800000</repurchaseRt>
          <maturityDt>2019-11-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1200000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1249269.600000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWH002"/>
        </identifiers>
        <balance>-1190765.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1297691.130000</valUSD>
        <pctVal>0.0837502</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2500000</repurchaseRt>
          <maturityDt>2019-11-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1300000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>1411485.300000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="975ZWH002"/>
        </identifiers>
        <balance>-620636.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-676249.360000</valUSD>
        <pctVal>0.0436437</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2800000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>800000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>745755.200000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REV REPO CREDIT AGRICOLE CIB ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="931JRH007"/>
        </identifiers>
        <balance>-4352807.170000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-4743344.510000</valUSD>
        <pctVal>0.3061253</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="1VUV7VQFKUOQSJ21A208" name="CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.3000000</repurchaseRt>
          <maturityDt>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5066881.600000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>4846346.160000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>ABS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FIRST BOSTON REVERSE REPO EUR 05/40 VAR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="977SFU006"/>
        </identifiers>
        <balance>-396000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-431586.460000</valUSD>
        <pctVal>0.0278537</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="DL6FFRRLF74S01HE2M14" name="Credit Suisse Securities (Europe) Limited"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.2000000</repurchaseRt>
          <maturityDt>2019-12-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>400000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>431860.000000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-9568000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9602671.240000</valUSD>
        <pctVal>0.6197359</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="Citigroup Inc"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1060000</repurchaseRt>
          <maturityDt>2019-10-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>28994004.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>11977063.530000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-1490000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1499090.110000</valUSD>
        <pctVal>0.0967481</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="Citigroup Inc"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1830000</repurchaseRt>
          <maturityDt>2019-10-24</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>41964176.820000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1080737.020000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-14093000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-14151720.830000</valUSD>
        <pctVal>0.9133218</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="Citigroup Inc"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1250000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>24467291.100000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>18799196.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-7000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7001166.670000</valUSD>
        <pctVal>0.4518403</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="6SHGI4ZSSLCXXQSBB395" name="Citigroup Inc"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.7500000</repurchaseRt>
          <maturityDt>2021-09-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8785000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7354714.150000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTICE FRANCE SA (AKA: SFR GROUP SA)</name>
        <lei>5493001ZMCICV4N02J21</lei>
        <title>ALTICE FRANCE SA SR SECURED 144A 02/27 8.125</title>
        <cusip>02156LAA9</cusip>
        <identifiers>
          <isin value="US02156LAA98"/>
        </identifiers>
        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3761250.000000</valUSD>
        <pctVal>0.2427430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-6290000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-6299009.110000</valUSD>
        <pctVal>0.4065246</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4820000</repurchaseRt>
          <maturityDt>2019-10-08</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6974000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7034878.720000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-10669000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-10706042.770000</valUSD>
        <pctVal>0.6909451</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6040000</repurchaseRt>
          <maturityDt>2019-10-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>11671000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>12129975.400000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-328000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-329215.350000</valUSD>
        <pctVal>0.0212469</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7790000</repurchaseRt>
          <maturityDt>2019-10-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>400000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>407860.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-3831000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3857655.350000</valUSD>
        <pctVal>0.2489648</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2530000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5272251.950000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5158159.890000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-1001000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1004014.180000</valUSD>
        <pctVal>0.0647969</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5810000</repurchaseRt>
          <maturityDt>2019-10-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1090000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1125425.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-3374000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3376547.460000</valUSD>
        <pctVal>0.2179152</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4710000</repurchaseRt>
          <maturityDt>2019-10-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3900888.100000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3786675.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-11694000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-11752348.840000</valUSD>
        <pctVal>0.7584715</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6810000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12948857.560000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13948011.960000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-2024000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2034291.810000</valUSD>
        <pctVal>0.1312888</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6920000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2359000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2363983.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-1038000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1045071.110000</valUSD>
        <pctVal>0.0674467</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.9555000</repurchaseRt>
          <maturityDt>2019-10-31</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1700000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1628079.970000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-19031000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-19123720.620000</valUSD>
        <pctVal>1.2342041</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1890000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>27654052.500000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>25508968.230000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-11400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-11440248.330000</valUSD>
        <pctVal>0.7383292</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1000000</repurchaseRt>
          <maturityDt>2019-11-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>14426217.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>14800095.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-35451000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-35551025.990000</valUSD>
        <pctVal>2.2943872</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9875000</repurchaseRt>
          <maturityDt>2020-02-24</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>69391775.170000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>45102612.690000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-19304000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-19317122.420000</valUSD>
        <pctVal>1.2466858</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0590000</repurchaseRt>
          <maturityDt>2020-03-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>30904422.800000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>28476761.090000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-3871000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3872976.150000</valUSD>
        <pctVal>0.2499536</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0630000</repurchaseRt>
          <maturityDt>2020-03-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8185874.350000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5376236.700000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO CREDIT AGRICOLE 03/14 VAR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="923TKQ002"/>
        </identifiers>
        <balance>-2064000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2070910.960000</valUSD>
        <pctVal>0.1336522</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300WO2DKF0Q3YMV43" name="CREDIT AGRICOLE SECURITIES (USA) INC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.8700000</repurchaseRt>
          <maturityDt>2019-11-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2369458.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2372208.700000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO DEUTSCHE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLG001"/>
        </identifiers>
        <balance>-38472000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-38670979.380000</valUSD>
        <pctVal>2.4957424</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300KP56LL8NKKFL47" name="THE BANK OF NY/DBAG LONDON GLOBAL"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0031300</repurchaseRt>
          <maturityDt>2020-01-31</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>69098986.650000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>54891639.420000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NATEXIS BANQUE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="922VXD003"/>
        </identifiers>
        <balance>-18647000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-18721786.900000</valUSD>
        <pctVal>1.2082641</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="4EP6JBYBTPTQ47LZOB67" name="BNY Mellon"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0080000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>34748140.170000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>26800854.810000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NATEXIS BANQUE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="922VXD003"/>
        </identifiers>
        <balance>-4068000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4075109.960000</valUSD>
        <pctVal>0.2629989</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="BNYMELLON/RE HSBC BANK PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.8600000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5762505.150000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5136018.270000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NATEXIS BANQUE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="922VXD003"/>
        </identifiers>
        <balance>-2803000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2808036.060000</valUSD>
        <pctVal>0.1812246</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="BNYMELLON/RE HSBC BANK PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9400000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5877047.400000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3603311.790000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-2161000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2170324.110000</valUSD>
        <pctVal>0.1400681</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1700000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3008994.620000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2902595.970000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-3179000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3192816.550000</valUSD>
        <pctVal>0.2060576</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300LCO2FLSSVFFR64" name="RBC Capital Markets, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.3290000</repurchaseRt>
          <maturityDt>2019-10-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4400000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4200810.920000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-1993000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2006687.870000</valUSD>
        <pctVal>0.1295073</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2532500</repurchaseRt>
          <maturityDt>2019-10-17</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2796570.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2709689.240000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-7502000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7529145.360000</valUSD>
        <pctVal>0.4859150</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1015000</repurchaseRt>
          <maturityDt>2019-11-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>10992082.300000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>10263922.800000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1327000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1335096.180000</valUSD>
        <pctVal>0.0861643</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2300000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2193370.760000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1742332.360000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO CREDIT AGRICOLE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="923TQF000"/>
        </identifiers>
        <balance>21500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21500000.000000</valUSD>
        <pctVal>1.3875641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300WO2DKF0Q3YMV43" name="CREDIT AGRICOLE SECURITIES (USA) INC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5000000</repurchaseRt>
          <maturityDt>2019-10-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>21278000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>21951249.110000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971QCQ008"/>
        </identifiers>
        <balance>-2357609.030000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-2890519.890000</valUSD>
        <pctVal>0.1865480</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="Barclays Bank PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.5000000</repurchaseRt>
          <maturityDt>2021-03-05</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2690000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>2588430.980000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTICE FRANCE SA (AKA: SFR GROUP SA)</name>
        <lei>5493001ZMCICV4N02J21</lei>
        <title>ALTICE FRANCE SA SR SECURED 144A 05/26 7.375</title>
        <cusip>67054KAA7</cusip>
        <identifiers>
          <isin value="US67054KAA79"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>322788.000000</valUSD>
        <pctVal>0.0208320</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVR002"/>
        </identifiers>
        <balance>-12173805.670000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-14981780.570000</valUSD>
        <pctVal>0.9668921</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.2100000</repurchaseRt>
          <maturityDt>2019-10-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>15848027.240000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>14567887.160000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVR002"/>
        </identifiers>
        <balance>-692520.500000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-853474.210000</valUSD>
        <pctVal>0.0550814</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.0000000</repurchaseRt>
          <maturityDt>2019-10-08</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>700000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>831460.000000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVR002"/>
        </identifiers>
        <balance>-2052750.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-2530138.180000</valUSD>
        <pctVal>0.1632897</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.0500000</repurchaseRt>
          <maturityDt>2019-10-08</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2300000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>2405733.300000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO FIRST BOSTON REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLK002"/>
        </identifiers>
        <balance>-10181000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-10188528.280000</valUSD>
        <pctVal>0.6575458</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="1V8Y6QCX6YMJ2OELII46" name="Credit Suisse Securities (USA) LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4200000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>10793934.960000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO MERRILL LYNCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLS005"/>
        </identifiers>
        <balance>-5998000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5998428.190000</valUSD>
        <pctVal>0.3871257</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="GGDZP1UYGU9STUHRDP48" name="Merrill Lynch International"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5700000</repurchaseRt>
          <maturityDt>2019-10-30</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>6400000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>6816608.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-4468000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4472933.410000</valUSD>
        <pctVal>0.2886736</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6500000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5014000.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-289000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-289542.680000</valUSD>
        <pctVal>0.0186865</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="OXTKY6Q8X53C9ILVV871" name="Nomura Securities International Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6000000</repurchaseRt>
          <maturityDt>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>300000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>322413.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ALTICE FRANCE SA (AKA: SFR GROUP SA)</name>
        <lei>5493001ZMCICV4N02J21</lei>
        <title>ALTICE FRANCE SA TERM B13</title>
        <cusip>F6628DAM6</cusip>
        <identifiers>
          <isin value="XAF6628DAM65"/>
        </identifiers>
        <balance>694750.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>693733.580000</valUSD>
        <pctVal>0.0447721</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0275</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-1380000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1385973.100000</valUSD>
        <pctVal>0.0894477</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9400000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1783000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1796372.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-9163000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9169999.510000</valUSD>
        <pctVal>0.5918122</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5000000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>10100000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>11142471.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-3758000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3761031.450000</valUSD>
        <pctVal>0.2427289</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="R0MUWSFPU8MPRO8K5P84" name="BNP PARIBAS S.A"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6400000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4568000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4362440.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO ROYAL BANK OF CAN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="973MHZ000"/>
        </identifiers>
        <balance>-92000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-92384.860000</valUSD>
        <pctVal>0.0059623</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300LCO2FLSSVFFR64" name="RBC Capital Markets, LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5100000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>91000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>97058.480000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-523000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-524850.410000</valUSD>
        <pctVal>0.0338727</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7100000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>580000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>584712.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO SOCIETE GENERALE REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="988FYT003"/>
        </identifiers>
        <balance>-674000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-674049.800000</valUSD>
        <pctVal>0.0435017</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG AMERICAS SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6600000</repurchaseRt>
          <maturityDt>2019-10-18</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>730000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>745330.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO TORONTO DOMINIO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMA003"/>
        </identifiers>
        <balance>-523000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-523034.140000</valUSD>
        <pctVal>0.0337555</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="5493006RJSLS5DA4PD75" name="BONY/TORONTO DOMINION SECURITIES INC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.3500000</repurchaseRt>
          <maturityDt>2021-09-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>503000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>540825.710000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO UBS AG LONDON</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EZU006"/>
        </identifiers>
        <balance>-534000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-534416.080000</valUSD>
        <pctVal>0.0344901</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="BFM8T61CT2L1QCEMIK50" name="UBS AG"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5500000</repurchaseRt>
          <maturityDt>2019-10-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>635460.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1447000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1454735.020000</valUSD>
        <pctVal>0.0938855</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.8300000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1685144.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1772000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1781137.610000</valUSD>
        <pctVal>0.1149508</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7300000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2280000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2177400.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-9397000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9438513.860000</valUSD>
        <pctVal>0.6091415</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.8400000</repurchaseRt>
          <maturityDt>2019-11-06</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12300000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>10854750.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1760000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1767359.490000</valUSD>
        <pctVal>0.1140616</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7370000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2029549.790000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2054919.160000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2710000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2720917.910000</valUSD>
        <pctVal>0.1756022</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6370000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3035000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3064409.150000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-969000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-972753.340000</valUSD>
        <pctVal>0.0627794</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6310000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1088000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1088000.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-482000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-483725.430000</valUSD>
        <pctVal>0.0312186</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6300000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>500000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>523750.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2737000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2738236.210000</valUSD>
        <pctVal>0.1767199</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7100000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2700000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3047706.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1655000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1661090.400000</valUSD>
        <pctVal>0.1072032</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7600000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2128000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1877960.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1655000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1655919.440000</valUSD>
        <pctVal>0.1068695</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5000000</repurchaseRt>
          <maturityDt>2021-09-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2128000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1877960.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-461000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-462619.000000</valUSD>
        <pctVal>0.0298564</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6900000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>456000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>527820.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-8655000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-8680061.030000</valUSD>
        <pctVal>0.5601926</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6060000</repurchaseRt>
          <maturityDt>2019-10-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8517000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>9378579.720000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1001000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1001416.250000</valUSD>
        <pctVal>0.0646293</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4950000</repurchaseRt>
          <maturityDt>2019-10-28</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1090000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1112890.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2162000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2167312.990000</valUSD>
        <pctVal>0.1398737</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6020000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2560000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2352000.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-5099000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5109287.230000</valUSD>
        <pctVal>0.3297425</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6900000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5789000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5926488.750000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2299000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2303400.030000</valUSD>
        <pctVal>0.1486565</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6500000</repurchaseRt>
          <maturityDt>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2295177.500000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2570621.750000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2244000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2247989.330000</valUSD>
        <pctVal>0.1450804</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5600000</repurchaseRt>
          <maturityDt>2019-12-06</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2386104.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2490432.910000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1541000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1543130.010000</valUSD>
        <pctVal>0.0995903</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.4880000</repurchaseRt>
          <maturityDt>2019-10-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1594000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1701595.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-1452000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1454046.110000</valUSD>
        <pctVal>0.0938410</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6700000</repurchaseRt>
          <maturityDt>2019-11-12</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1470000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1618837.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-4262000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4267689.770000</valUSD>
        <pctVal>0.2754276</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6700000</repurchaseRt>
          <maturityDt>2019-12-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4575000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5057662.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-2937000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2939243.540000</valUSD>
        <pctVal>0.1896925</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="T6FIZBDPKLYJKFCRVK44" name="UBS Securities LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.5000000</repurchaseRt>
          <maturityDt>2019-10-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3154000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3148795.900000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-1843000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1846152.450000</valUSD>
        <pctVal>0.1191467</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7990000</repurchaseRt>
          <maturityDt>2019-10-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2184500.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2172768.800000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-9598000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9615297.200000</valUSD>
        <pctVal>0.6205507</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9490000</repurchaseRt>
          <maturityDt>2019-10-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>18233179.720000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13071845.540000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-7866000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7897201.800000</valUSD>
        <pctVal>0.5096685</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.9750000</repurchaseRt>
          <maturityDt>2019-11-14</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9208188.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>9453386.390000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-682000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-683421.590000</valUSD>
        <pctVal>0.0441066</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.6800000</repurchaseRt>
          <maturityDt>2019-12-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4539392.270000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>820031.350000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-1191000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1196137.840000</valUSD>
        <pctVal>0.0771962</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1060000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1500000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1497242.830000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-4331000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4358837.380000</valUSD>
        <pctVal>0.2813100</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2590000</repurchaseRt>
          <maturityDt>2019-10-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9219570.490000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5955442.190000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-9754000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9814191.930000</valUSD>
        <pctVal>0.6333870</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.2670000</repurchaseRt>
          <maturityDt>2019-10-25</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>15766056.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13438099.080000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-5736999.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5737483.160000</valUSD>
        <pctVal>0.3702849</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.0320000</repurchaseRt>
          <maturityDt>2019-10-30</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>293913466.250000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7244366.590000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-7451000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7472934.500000</valUSD>
        <pctVal>0.4822872</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1170000</repurchaseRt>
          <maturityDt>2019-11-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>10000000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>9927874.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-32678000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-32975239.070000</valUSD>
        <pctVal>2.1281515</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.4110000</repurchaseRt>
          <maturityDt>2019-12-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>54969883.440000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>50363870.930000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-3424000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3425597.870000</valUSD>
        <pctVal>0.2210808</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.1000000</repurchaseRt>
          <maturityDt>2021-09-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5765000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3545475.000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-12347000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-12354408.200000</valUSD>
        <pctVal>0.7973271</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC LONDON BRANCH"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7000000</repurchaseRt>
          <maturityDt>2021-09-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>12300000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13519117.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-15357000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-15366214.200000</valUSD>
        <pctVal>0.9917026</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="Barclays Bank PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7000000</repurchaseRt>
          <maturityDt>2021-09-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>15100000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>16771947.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REVERSE REPO BARCLAYS REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLB002"/>
        </identifiers>
        <balance>-92000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-92032.200000</valUSD>
        <pctVal>0.0059396</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="5493005W5HSHUL53Y966" name="Barclays Capital, Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>1.8000000</repurchaseRt>
          <maturityDt>2021-09-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>141000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>99757.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ABX.HE.AA.06-2 SP FBF</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC54764"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7288505.880000</valUSD>
        <pctVal>0.4703846</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
              <counterpartyLei>DL6FFRRLF74S01HE2M14</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ABX.HE.AA.06-2</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.170000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2046-05-25</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-23138327.890000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>26033028.010000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>15849822.010000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMBAC ASSURANCE CORPORATION</name>
        <lei>549300RYYRVPPB8NC636</lei>
        <title>AMBAC ASSURANCE CORP SUBORDINATED 144A 06/20 5.1</title>
        <cusip>023138AA8</cusip>
        <identifiers>
          <isin value="US023138AA88"/>
        </identifiers>
        <balance>184135.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>268377.710000</valUSD>
        <pctVal>0.0173205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBB9Q5Q"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-41910.640000</valUSD>
        <pctVal>0.0027048</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>7651943.850000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6982000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-41910.640000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBWFJ2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-258873.720000</valUSD>
        <pctVal>0.0167072</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>121747499.160000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>98807428.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-258873.720000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMBAC LSNI LLC</name>
        <lei>N/A</lei>
        <title>AMBAC LSNI LLC SR SECURED 144A 02/23 VAR</title>
        <cusip>02315QAA6</cusip>
        <identifiers>
          <isin value="US02315QAA67"/>
        </identifiers>
        <balance>2029540.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2054909.490000</valUSD>
        <pctVal>0.1326195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.10438</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IHKBBM6H3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>21721.300000</valUSD>
        <pctVal>0.0014018</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>5084000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>6272751.050000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>21721.300000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBV1J6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.812200"/>
        <valUSD>260405.280000</valUSD>
        <pctVal>0.0168060</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America N.A.</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>98807428.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>121912062.930000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>260405.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBBZP1T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-151178.300000</valUSD>
        <pctVal>0.0097567</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>47917161.600000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>43824000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-151178.300000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19EBKBB7G52"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-135755.290000</valUSD>
        <pctVal>0.0087614</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>15685293.440000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>307220000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2019-10-09</settlementDt>
            <unrealizedAppr>-135755.290000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBBX8L2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.915200"/>
        <valUSD>149337.680000</valUSD>
        <pctVal>0.0096379</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>43824000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>48034084.030000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>149337.680000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBBSSJJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14415.330000</valUSD>
        <pctVal>0.0009303</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>1772505.210000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1613000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-14415.330000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IDKBBPD7W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-54850.870000</valUSD>
        <pctVal>0.0035400</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>4133445.010000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3742000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-54850.870000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ITKBBQNML"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-34245.650000</valUSD>
        <pctVal>0.0022101</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>16073406.650000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>14679000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>-34245.650000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ICKBB6STW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.379400"/>
        <valUSD>1324.210000</valUSD>
        <pctVal>0.0000855</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P85</counterpartyLei>
            </counterparties>
            <amtCurSold>7855006.250000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>2325686.530000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-12-06</settlementDt>
            <unrealizedAppr>1324.210000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0I7J0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>64353.730000</valUSD>
        <pctVal>0.0041533</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BOMBARDIER INC</issuerName>
                <issueTitle>BOMBARDIER INC SR UNSEC REGS</issueTitle>
                <identifiers>
                  <isin value="USC10602AJ68"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-5843.800000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>70197.530000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>W7L3VLU8EHQY34Z36697</lei>
        <title>BOMBARDIER INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0IKN6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6195.970000</valUSD>
        <pctVal>0.0003999</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BOMBARDIER INC</issuerName>
                <issueTitle>BOMBARDIER INC SR UNSEC REGS</issueTitle>
                <identifiers>
                  <isin value="USC10602AJ68"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-329.990000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>6525.960000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MORTGAGE ASSETS 2007-4</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4</title>
        <cusip>026934AD1</cusip>
        <identifiers>
          <isin value="US026934AD19"/>
        </identifiers>
        <balance>10992102.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10263942.070000</valUSD>
        <pctVal>0.6624129</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.30838</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>AMERICAN HOME MTGE ASSETS 2005-1</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11</title>
        <cusip>02660VAE8</cusip>
        <identifiers>
          <isin value="US02660VAE83"/>
        </identifiers>
        <balance>1349782.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1330171.670000</valUSD>
        <pctVal>0.0858464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.55838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MTGE INV TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1</title>
        <cusip>02660TEK5</cusip>
        <identifiers>
          <isin value="US02660TEK51"/>
        </identifiers>
        <balance>5140920.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5029670.180000</valUSD>
        <pctVal>0.3246042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.61838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IJKBBRPRH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-29245.910000</valUSD>
        <pctVal>0.0018875</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>2236287.290000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1795000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-29245.910000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MTGE INVEST TR 2004-2</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1</title>
        <cusip>02660TBF9</cusip>
        <identifiers>
          <isin value="US02660TBF93"/>
        </identifiers>
        <balance>9738682.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8813201.760000</valUSD>
        <pctVal>0.5687852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.91838</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19GNKBB3BXD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-388598.430000</valUSD>
        <pctVal>0.0250793</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>15689058.210000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>307220000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-01-22</settlementDt>
            <unrealizedAppr>-388598.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HCKBBTKLT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>52553.700000</valUSD>
        <pctVal>0.0033917</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>4079530.760000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>269510120.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>52553.700000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IOKBBQVRR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>3927.390000</valUSD>
        <pctVal>0.0002535</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>489000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>536913.100000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>3927.390000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBBMT3G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>3498.290000</valUSD>
        <pctVal>0.0002258</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>1294000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1413894.020000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>3498.290000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HTKBBM0KX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1079624.420000</valUSD>
        <pctVal>0.0696767</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>117383428.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>143249112.860000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-1079624.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ILKBBM1GX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>51419.820000</valUSD>
        <pctVal>0.0033185</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>2916000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>3636786.210000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>51419.820000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19GNKBB3BV1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="19.757500"/>
        <valUSD>412429.950000</valUSD>
        <pctVal>0.0266173</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>307220000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>15961968.100000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-09</settlementDt>
            <unrealizedAppr>412429.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HRKBB326F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.155000"/>
        <valUSD>-3131.480000</valUSD>
        <pctVal>0.0002021</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Deutsche Bank AG</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>8142442.050000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>1956565.280000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-3131.480000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>549300ZCZ76HYCS0H445</lei>
        <title>FRONTIER COMMUNICATIONS CORPO SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0FQ97"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-633480.920000</valUSD>
        <pctVal>0.0408835</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FRONTIER COMMUNICATIONS CORPORATION</issuerName>
                <issueTitle>FRONTIER COMM / CITIZENS</issueTitle>
                <identifiers>
                  <isin value="US17453BAJ08"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-162000.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-471480.920000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>549300ZCZ76HYCS0H445</lei>
        <title>FRONTIER COMMUNICATIONS CORPO SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7K5BW2L0M2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7305760.550000</valUSD>
        <pctVal>0.4714982</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FRONTIER COMMUNICATIONS CORPORATION</issuerName>
                <issueTitle>FRONTIER COMM / CITIZENS</issueTitle>
                <identifiers>
                  <isin value="US17453BAJ08"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-505249.990000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>14700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-6800510.560000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ARS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBCTMRK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-94348.930000</valUSD>
        <pctVal>0.0060891</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>2326913.690000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>153459957.860000</amtCurPur>
            <curPur>ARS</curPur>
            <settlementDt>2019-11-21</settlementDt>
            <unrealizedAppr>-94348.930000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ICKBBNLNL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-15760.490000</valUSD>
        <pctVal>0.0010171</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1045763.550000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>945000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-15760.490000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IEKBBQQ8Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>14752.640000</valUSD>
        <pctVal>0.0009521</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>2277000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>2814436.890000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>14752.640000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ARS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HOKBB9B1T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2507.960000</valUSD>
        <pctVal>0.0001619</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>100000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6525000.000000</amtCurPur>
            <curPur>ARS</curPur>
            <settlementDt>2019-10-23</settlementDt>
            <unrealizedAppr>2507.960000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ARS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HOKBB9RP5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20639.570000</valUSD>
        <pctVal>0.0013320</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>506000.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>33522500.000000</amtCurPur>
            <curPur>ARS</curPur>
            <settlementDt>2019-10-23</settlementDt>
            <unrealizedAppr>20639.570000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ARS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HPKBB6CXF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-764.250000</valUSD>
        <pctVal>0.0000493</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>109700.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6960465.000000</amtCurPur>
            <curPur>ARS</curPur>
            <settlementDt>2019-10-28</settlementDt>
            <unrealizedAppr>-764.250000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HUKBBMTK0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>108627.180000</valUSD>
        <pctVal>0.0070106</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>15392303.590000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>12607000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>108627.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IDKBBPD81"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2209.850000</valUSD>
        <pctVal>0.0001426</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank PLC and HSBC Bank USA National Association</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1734645.120000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1409000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-2209.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANCESTRYCOM OPERATIONS INC</name>
        <lei>N/A</lei>
        <title>ANCESTRY COM OPERATIONS INC 2019 EXTENDED TERM LOAN B</title>
        <cusip>03280FAK7</cusip>
        <identifiers>
          <isin value="US03280FAK75"/>
        </identifiers>
        <balance>99750.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99209.650000</valUSD>
        <pctVal>0.0064028</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>54930076J6KDZL504O62</lei>
        <title>IHEARTMEDIA INC WARRANT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US45174J1455"/>
        </identifiers>
        <balance>537144.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8057160.000000</valUSD>
        <pctVal>0.5199919</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="WAR">
            <counterparties>
              <counterpartyName>None</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>IHEARTMEDIA INC</issuerName>
                <issueTitle>IHEARTMEDIA INC - CLASS A</issueTitle>
                <identifiers>
                  <isin value="US45174J5092"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2039-05-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1791818.620000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAESARS ENTERTAINMENT CORPORATION</name>
        <lei>529900CJT4VQO26ONP04</lei>
        <title>CAESARS ENTERTAINMENT CORP COMMON STOCK USD.01</title>
        <cusip>127686103</cusip>
        <identifiers>
          <isin value="US1276861036"/>
        </identifiers>
        <balance>1283486.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>14965446.760000</valUSD>
        <pctVal>0.9658380</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ARS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IKKBCC1D7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ARS" exchangeRt="63.555000"/>
        <valUSD>-96040.530000</valUSD>
        <pctVal>0.0061983</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank N.A.</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>556366089.390000</amtCurSold>
            <curSold>ARS</curSold>
            <amtCurPur>8658046.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-21</settlementDt>
            <unrealizedAppr>-96040.530000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>API GROUP INC</name>
        <lei>549300PF7K5YYDIK7Y13</lei>
        <title>API GROUP DE INC TERM LOAN B</title>
        <cusip>935ZKUII7</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL3165844"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201000.000000</valUSD>
        <pctVal>0.0129721</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.54088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>

      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2019-11-13</ncom:dateSigned>
      <ncom:nameOfApplicant>PIMCO Dynamic Income Fund</ncom:nameOfApplicant>
      <ncom:signature>/s/ Jason Nagler</ncom:signature>
      <ncom:signerName>Jason Nagler</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
</XML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>NPORT-EX
<SEQUENCE>2
<FILENAME>dynamicincomefund.htm
<DESCRIPTION>PIMCO DYNAMIC INCOME FUND
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0; font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</P>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font-size: 8pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund</FONT></TD>
    <TD STYLE="width: 17%; font-size: 8pt"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>


<P STYLE="margin: 0; font: 8pt Arial, Helvetica, Sans-Serif"></P>

<P STYLE="margin: 0; font: 8pt Arial, Helvetica, Sans-Serif"></P>

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>&nbsp;</B></FONT></P>

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>(AMOUNTS
IN THOUSANDS*, EXCEPT NUMBER OF SHARES, CONTRACTS AND UNITS, IF ANY)</B></FONT></P>


<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; width: 74%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 3%; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 10%; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PRINCIPAL<BR>
    AMOUNT<BR>
    (000s)</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 3%; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 10%; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MARKET<BR>
    VALUE<BR>
    (000s)</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">INVESTMENTS
    IN SECURITIES 168.5% &curren;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">LOAN
    PARTICIPATIONS AND ASSIGNMENTS 15.2%</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font: bold 8pt Arial, Helvetica, Sans-Serif">&nbsp;</TD></TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Advanced Drainage
    Systems, Inc.</B><BR>
    TBD% due 09/19/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Advanz Pharma
    Corp.</B><BR>
    7.528% (LIBOR03M + 5.500%) due 09/06/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,584</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,908</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Alphabet Holding
    Co., Inc.</B><BR>
    5.544% (LIBOR03M + 3.500%) due 09/26/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">294</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">273</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Altice France
    S.A.</B><BR>
    6.028% (LIBOR03M + 4.000%) due 08/14/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">695</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">694</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ancestry.com
    Operations, Inc.</B><BR>
    6.300% (LIBOR03M + 4.250%) due 08/27/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">100</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>API Group, Inc.</B><BR>
    TBD% due 10/01/2026 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">201</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Avantor, Inc.</B><BR>
    5.044% (LIBOR03M + 3.000%) due 11/21/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">61</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">61</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CenturyLink,
    Inc.</B><BR>
    4.794% (LIBOR03M + 2.750%) due 01/31/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">345</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">344</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Diamond Resorts
    Corp.</B><BR>
    5.796% (LIBOR03M + 3.750%) due 09/02/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,584</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,401</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>DTEK Holdings
    Ltd.</B><BR>
    TBD% due 08/01/2026 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,263</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,143</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Dubai World
    (2.500% Cash and 1.750% PIK)</B><BR>
    4.250% (LIBOR03M + 2.000%) due 09/30/2022 ~(d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">29,048</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,233</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Emerald TopCo,
    Inc.</B><BR>
    5.544% (LIBOR03M + 3.500%) due 07/24/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Envision Healthcare
    Corp.</B><BR>
    5.794% (LIBOR03M + 3.750%) due 10/10/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">25,791</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,106</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Financial &amp;
    Risk U.S. Holdings, Inc.</B><BR>
    5.794% (LIBOR03M + 3.750%) due 10/01/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,859</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,878</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fleet U.S. Bidco,
    Inc.</B><BR>
    TBD% due 09/23/2026 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">69</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">69</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Frontier Communications
    Corp.</B><BR>
    5.800% (LIBOR03M + 3.750%) due 06/15/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,744</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,745</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Genworth Holdings,
    Inc.</B><BR>
    6.670% (LIBOR03M + 4.500%) due 03/07/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">49</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">49</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>iHeartCommunications,
    Inc.</B><BR>
    6.100% (LIBOR03M + 4.000%) due 05/01/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,179</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,274</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Intelsat Jackson
    Holdings S.A.</B><BR>
    5.804% (LIBOR03M + 3.750%) due 11/27/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">201</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>McDermott Technology
    Americas, Inc.</B><BR>
    7.104% (LIBOR03M + 5.000%) due 05/09/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,592</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,575</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Messer Industrie
    GmbH</B><BR>
    4.604% (LIBOR03M + 2.500%) due 03/01/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">282</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">282</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>MH Sub LLC</B><BR>
    5.794% (LIBOR03M + 3.750%) due 09/13/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">265</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">263</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ministry of
    Finance of Tanzania</B><BR>
    7.741% (LIBOR03M + 4.600%) due 12/10/2019 &laquo;~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">202</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Nascar Holdings,
    Inc.</B><BR>
    TBD% due 07/27/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">224</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">226</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>NCI Building
    Systems, Inc.</B><BR>
    5.789% (LIBOR03M + 3.750%) due 04/12/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">119</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">116</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Neiman Marcus
    Group Ltd. LLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.057%
    (LIBOR03M + 6.000%) due 10/25/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">28,727</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,156</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.557%
    (LIBOR03M + 6.500%) due 10/25/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,556</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,183</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Nestle Skin
    Health</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD%
    due 07/16/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">675</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">679</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD%
    due 07/16/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,100</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ortho-Clinical
    Diagnostics S.A.</B><BR>
    5.563% (LIBOR03M + 3.250%) due 06/30/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,391</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,349</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Pacific Gas
    &amp; Electric Co.</B><BR>
    TBD% due 02/22/2049 ^&laquo;(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,882</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,849</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Parexel International
    Corp.</B><BR>
    4.794% (LIBOR03M + 2.750%) due 09/27/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">88</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">84</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>PetSmart, Inc.</B><BR>
    6.040% (LIBOR03M + 4.000%) due 03/11/2022 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">307</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Preylock Reitman
    Santa Cruz Mezz LLC</B><BR>
    TBD% (LIBOR03M + 5.500%) due 11/09/2022 &laquo;~(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,540</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,572</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Project Anfora
    Senior</B><BR>
    1.000% due 10/01/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,745</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sequa Mezzanine
    Holdings LLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.187%
    (LIBOR03M + 5.000%) due 11/28/2021 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,535</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,428</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11.268%
    (LIBOR03M + 9.000%) due 04/28/2022 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,252</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">31,769</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sinclair Television
    Group, Inc.</B><BR>
    4.540% (LIBOR03M + 2.500%) due 09/30/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">201</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<!-- Field: Page; Sequence: 1; Options: NewSection; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;&nbsp;</P>

<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>


<P STYLE="margin-top: 0; margin-bottom: 0"></P>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Starfruit Finco
    BV</B><BR>
    5.292% (LIBOR03M + 3.250%) due 10/01/2025 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">660</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">647</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Syniverse Holdings,
    Inc.</B><BR>
    7.028% (LIBOR03M + 5.000%) due 03/09/2023 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,708</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,753</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>U.S. Renal Care,
    Inc.</B><BR>
    7.063% (LIBOR03M + 5.000%) due 06/26/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">288</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">274</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Univision Communications,
    Inc.</B><BR>
    4.794% (LIBOR03M + 2.750%) due 03/15/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,980</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,743</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>VFH Parent LLC</B><BR>
    6.044% (LIBOR03M + 3.500%) due 03/01/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">100</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">100</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>West Corp.</B><BR>
    6.044% (LIBOR03M + 4.000%) due 10/10/2024 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">70</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Westmoreland
    Mining Holdings LLC</B><BR>
    10.389% (LIBOR03M + 8.250%) due 03/15/2022 &laquo;~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Westmoreland
    Mining Holdings LLC (15.000% PIK)</B><BR>
    15.000% due 03/15/2029 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Whatabrands
    LLC</B><BR>
    5.516% (LIBOR03M + 3.250%) due 08/02/2026 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Loan Participations and Assignments (Cost $244,850)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">235,586</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CORPORATE
    BONDS &amp; NOTES 38.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BANKING
    &amp; FINANCE 16.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>AGFC Capital
    Trust</B> <BR>
    4.053% (US0003M + 1.750%) due 01/15/2067 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,030</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ally Financial,
    Inc.</B> <BR>
    8.000% due 11/01/2031</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ambac Assurance
    Corp.</B> <BR>
    5.100% due 06/07/2020</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">184</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">268</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ambac LSNI LLC
    </B><BR>
    7.104% due 02/12/2023 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,022</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,048</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ardonagh Midco
    PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.375%
    due 07/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,410</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">38,345</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.625%
    due 07/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">384</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Athene Holding
    Ltd.</B> <BR>
    4.125% due 01/12/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">58</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">60</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>AXA Equitable
    Holdings, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.350%
    due 04/20/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">91</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">97</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000%
    due 04/20/2048 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">153</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">165</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Banco Bilbao
    Vizcaya Argentaria S.A.</B> <BR>
    6.750% due 02/18/2020 &bull;(i)(j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">222</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Banco de Credito
    del Peru</B> <BR>
    4.650% due 09/17/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PEN</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">595</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bank of Ireland
    </B><BR>
    7.375% due 06/18/2020 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,362</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Barclays Bank
    PLC</B> <BR>
    7.625% due 11/21/2022 (j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,100</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,142</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Barclays PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.250%
    due 01/17/2033 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">499</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.875%
    due 09/15/2024 &bull;(i)(j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">479</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.125%
    due 06/15/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,600</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,004</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.250%
    due 03/15/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,148</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.875%
    due 09/15/2022 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,834</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.000%
    due 12/15/2020 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,800</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,269</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.000%
    due 06/15/2024 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,490</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Brookfield Finance,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.900%
    due 01/25/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">182</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">191</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.700%
    due 09/20/2047 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">168</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">185</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CBL &amp; Associates
    LP</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.600%
    due 10/15/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.250%
    due 12/01/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">313</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">219</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.950%
    due 12/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,551</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,097</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit Suisse
    Group AG</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.250%
    due 09/12/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">428</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 07/17/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">800</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">856</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Emerald Bay
    S.A.</B> <BR>
    0.000% due 10/08/2020 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">68</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>ESH Hospitality,
    Inc.</B> <BR>
    4.625% due 10/01/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">312</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">314</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fortress Transportation
    &amp; Infrastructure Investors LLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 10/01/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,128</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,162</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.750%
    due 03/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,334</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,397</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GE Capital International
    Funding Co. Unlimited Co.</B> <BR>
    4.418% due 11/15/2035 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">340</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">357</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Growthpoint
    Properties International Pty. Ltd.</B> <BR>
    5.872% due 05/02/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">321</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>HSBC Bank PLC
    </B><BR>
    6.330% due 05/23/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">25,529</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>HSBC Holdings
    PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.875%
    due 09/28/2026 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,302</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 09/29/2023 &bull;(i)(j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">248</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 03/23/2028 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,220</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,277</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Hunt Cos., Inc.
    </B><BR>
    6.250% due 02/15/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">60</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">59</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 2; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>ING Groep NV
    </B><BR>
    5.750% due 11/16/2026 &bull;(i)(j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,008</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Kennedy-Wilson,
    Inc.</B> <BR>
    5.875% due 04/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">162</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">167</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Lloyds Banking
    Group PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 09/27/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,601</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.625%
    due 06/27/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,700</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,280</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.875%
    due 06/27/2029 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,473</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,914</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>LoanCore Capital
    Markets LLC </B><BR>
    6.875% due 06/01/2020 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,800</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,755</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Nationstar Mortgage
    LLC</B> <BR>
    6.500% due 07/01/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,932</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,942</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Navient Corp.
    </B><BR>
    6.500% due 06/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,784</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,904</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Newmark Group,
    Inc.</B> <BR>
    6.125% due 11/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">254</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">276</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Oppenheimer
    Holdings, Inc.</B> <BR>
    6.750% due 07/01/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,348</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,392</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Park Aerospace
    Holdings Ltd. </B><BR>
    4.500% due 03/15/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">342</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">355</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Pinnacol Assurance
    </B><BR>
    8.625% due 06/25/2034 &laquo;(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,967</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Preferred Term
    Securities Ltd. </B><BR>
    2.499% (US0003M + 0.380%) due 09/23/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">312</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">302</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Royal Bank of
    Scotland Group PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 08/10/2020 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,989</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,131</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.000%
    due 08/10/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,775</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,384</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.625%
    due 08/15/2021 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,520</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,852</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sabra Health
    Care LP</B> <BR>
    4.800% due 06/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">442</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">468</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Santander UK
    Group Holdings PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.750%
    due 06/24/2024 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,832</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.375%
    due 06/24/2022 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,635</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,248</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Societe Generale
    S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.750%
    due 04/06/2028 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">408</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.375%
    due 10/04/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,600</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,685</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Springleaf Finance
    Corp.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.625%
    due 03/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,103</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.125%
    due 03/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">314</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">339</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.625%
    due 01/15/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">974</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,050</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 03/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">269</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">297</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Stichting AK
    Rabobank Certificaten </B><BR>
    6.500% due 12/29/2049 (i)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">440</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">605</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Tesco Property
    Finance PLC</B> <BR>
    6.052% due 10/13/2039 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,170</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,115</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Toll Road Investors
    Partnership LP</B> <BR>
    0.000% due 02/15/2045 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,426</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,778</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>TP ICAP PLC
    </B><BR>
    5.250% due 01/26/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,198</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,172</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>UniCredit SpA
    </B><BR>
    7.830% due 12/04/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,794</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Unique Pub Finance
    Co. PLC</B> <BR>
    5.659% due 06/30/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,607</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,251</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Voyager Aviation
    Holdings LLC </B><BR>
    8.500% due 08/15/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,182</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">248,026</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">INDUSTRIALS
    15.1%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Advanced Drainage
    Systems, Inc. </B><BR>
    5.000% due 09/30/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Altice Financing
    S.A.</B> <BR>
    7.500% due 05/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,360</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,773</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Altice France
    S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.875%
    due 02/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">900</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,088</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.375%
    due 05/01/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">323</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.125%
    due 02/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,761</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ardagh Packaging
    Finance PLC </B><BR>
    4.125% due 08/15/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">202</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Associated Materials
    LLC</B> <BR>
    9.000% due 01/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,473</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Avon International
    Capital PLC </B><BR>
    6.500% due 08/15/2022</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">90</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">93</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>B.C. Unlimited
    Liability Co. </B><BR>
    3.875% due 01/15/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">220</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">222</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Baffinland Iron
    Mines Corp. </B><BR>
    8.750% due 07/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,600</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,705</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>BCPE Cycle Merger
    Sub, Inc. </B><BR>
    10.625% due 07/15/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">196</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">190</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Beazer Homes
    USA, Inc.</B> <BR>
    7.250% due 10/15/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bioceanico Sovereign
    Certificate Ltd.</B> <BR>
    0.000% due 06/05/2034 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">250</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">175</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bombardier,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.125%
    due 01/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,820</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,858</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 12/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,926</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,950</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 3; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"></P>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 03/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,899</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,904</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.875%
    due 04/15/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,692</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,686</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Buffalo Thunder
    Development Authority</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 11/15/2029 &laquo; (k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,483</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11.000%
    due 12/09/2022 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,598</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,855</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Cheniere Energy
    Partners LP </B><BR>
    4.500% due 10/01/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">126</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">129</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Clear Channel
    Worldwide Holdings, Inc.</B> <BR>
    9.250% due 02/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,517</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,379</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Community Health
    Systems, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 03/31/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23,716</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23,647</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.000%
    due 03/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,328</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,328</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.625%
    due 01/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,604</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,695</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Connect Finco
    SARL</B> <BR>
    6.750% due 10/01/2026 (c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">144</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">147</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Core &amp; Main
    Holdings LP (8.625% Cash or 9.375% PIK)</B> <BR>
    8.625% due 09/15/2024 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">103</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">104</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CSC Holdings
    LLC</B> <BR>
    6.500% due 02/01/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">334</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Diamond Resorts
    International, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.750%
    due 09/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">466</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">482</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10.750%
    due 09/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,692</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>DISH DBS Corp.
    </B><BR>
    5.875% due 07/15/2022</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Eagle Holding
    Co. LLC (7.750% Cash or 8.500% PIK)</B> <BR>
    7.750% due 05/15/2022 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">51</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Eldorado Resorts,
    Inc.</B> <BR>
    6.000% due 09/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,050</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Envision Healthcare
    Corp.</B> <BR>
    8.750% due 10/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,765</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,545</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Exela Intermediate
    LLC</B> <BR>
    10.000% due 07/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">267</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">150</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fairstone Financial,
    Inc.</B> <BR>
    7.875% due 07/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">726</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">760</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>First Quantum
    Minerals Ltd.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 03/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,902</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,741</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 03/01/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,282</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,100</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.000%
    due 02/15/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">448</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">452</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Flex Ltd.</B>
    <BR>
    4.875% due 06/15/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">316</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">332</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>FMG Resources
    Pty. Ltd.</B> <BR>
    4.500% due 09/15/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">132</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">130</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fresh Market,
    Inc.</B> <BR>
    9.750% due 05/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,520</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,984</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Frontier Finance
    PLC</B> <BR>
    8.000% due 03/23/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,347</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Full House Resorts,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.575%
    due 01/31/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">786</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">774</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9.738%
    due 02/02/2024&nbsp;&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">67</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>General Electric
    Co.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000%
    due 01/21/2021 &bull;(i)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">737</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">700</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.875%
    due 01/14/2038</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">46</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.150%
    due 08/07/2037 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">235</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">290</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Global Payments,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.200%
    due 08/15/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">126</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">128</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.150%
    due 08/15/2049</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Go Daddy Operating
    Co. LLC</B> <BR>
    5.250% due 12/01/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">64</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">68</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Hilton Domestic
    Operating Co., Inc.</B> <BR>
    4.875% due 01/15/2030</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">76</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">80</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Horizon Pharma
    USA, Inc.</B> <BR>
    5.500% due 08/01/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">209</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>iHeartCommunications,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.375%
    due 05/01/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,278</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,556</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.375%
    due 05/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,827</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,322</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IHO Verwaltungs
    GmbH (3.625% Cash or 4.375% PIK)</B> <BR>
    3.625% due 05/15/2025 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">690</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">781</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IHO Verwaltungs
    GmbH (3.875% Cash or 4.625% PIK)</B> <BR>
    3.875% due 05/15/2027 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">335</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IHO Verwaltungs
    GmbH (6.000% Cash or 6.750% PIK)</B> <BR>
    6.000% due 05/15/2027 (d)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,071</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,087</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IHO Verwaltungs
    GmbH (6.375% Cash or 7.125% PIK)</B> <BR>
    6.375% due 05/15/2029 (d)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">944</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">956</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Installed Building
    Products, Inc.</B> <BR>
    5.750% due 02/01/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">126</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">130</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Intelsat Connect
    Finance S.A. </B><BR>
    9.500% due 02/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">434</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">403</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Intelsat Jackson
    Holdings S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 08/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,407</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.000%
    due 02/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">295</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">307</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.500%
    due 10/15/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,377</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,410</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9.750%
    due 07/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">639</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">671</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Intelsat Luxembourg
    S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.750%
    due 06/01/2021 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,614</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,686</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.125%
    due 06/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,785</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,355</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 4; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"></P>

<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin-top: 0; margin-bottom: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Mallinckrodt
    International Finance S.A.</B> <BR>
    5.500% due 04/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">318</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">95</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Marriott Ownership
    Resorts, Inc.</B> <BR>
    4.750% due 01/15/2028 (c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Melco Resorts
    Finance Ltd.</B> <BR>
    5.625% due 07/17/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">416</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Micron Technology,
    Inc.</B> <BR>
    5.327% due 02/06/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">420</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">462</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>NCR Corp.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 09/01/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">71</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">74</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.125%
    due 09/01/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">40</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">42</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Netflix, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.875%
    due 11/15/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,717</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,990</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.625%
    due 05/15/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">700</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">850</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.375%
    due 11/15/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">184</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">192</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Noble Holding
    International Ltd.</B> <BR>
    7.875% due 02/01/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">325</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">236</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ortho-Clinical
    Diagnostics, Inc.</B> <BR>
    6.625% due 05/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,147</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,126</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Pacific Drilling
    SA</B> <BR>
    8.375% due 10/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">612</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">516</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Par Pharmaceutical,
    Inc.</B> <BR>
    7.500% due 04/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">316</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">288</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Performance
    Food Group, Inc. </B><BR>
    5.500% due 10/15/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">58</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">61</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Petroleos Mexicanos</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.350%
    due 02/12/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,716</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,644</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.490%
    due 01/23/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">209</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 03/13/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,176</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,314</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.750%
    due 09/21/2047 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">120</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">115</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.840%
    due 01/23/2030 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">600</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">622</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.690%
    due 01/23/2050</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">330</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">345</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>PetSmart, Inc.
    </B><BR>
    5.875% due 06/01/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">203</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">203</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Platin GmbH</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 06/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,282</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 06/15/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">940</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,004</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Prime Security
    Services Borrower LLC</B> <BR>
    5.750% due 04/15/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">120</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">125</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Qorvo, Inc.
    </B><BR>
    4.375% due 10/15/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">56</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">56</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>QVC, Inc.</B>
    <BR>
    5.950% due 03/15/2043 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,983</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,992</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Radiate Holdco
    LLC</B> <BR>
    6.875% due 02/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">140</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">145</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Refinitiv U.S.
    Holdings, Inc. </B><BR>
    4.500% due 05/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">471</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sands China
    Ltd.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.125%
    due 08/08/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">600</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">660</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.400%
    due 08/08/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,951</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sensata Technologies,
    Inc.</B> <BR>
    4.375% due 02/15/2030</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Staples, Inc.
    </B><BR>
    7.500% due 04/15/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">190</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">196</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Syngenta Finance
    NV</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.892%
    due 04/24/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">212</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.182%
    due 04/24/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">319</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Telesat Canada
    </B><BR>
    6.500% due 10/15/2027 (c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">167</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">170</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Tenet Healthcare
    Corp.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.625%
    due 09/01/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">198</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.875%
    due 01/01/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">74</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">76</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Teva Pharmaceutical
    Finance BV</B> <BR>
    3.650% due 11/10/2021</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">170</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">157</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Teva Pharmaceutical
    Finance Co. BV</B> <BR>
    3.650% due 11/10/2021</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Teva Pharmaceutical
    Finance Netherlands BV</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.375%
    due 07/25/2020</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">700</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">744</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.200%
    due 07/21/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,092</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,754</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.250%
    due 04/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">800</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">813</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Topaz Solar
    Farms LLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.875%
    due 09/30/2039 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,713</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,920</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 09/30/2039 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,781</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,236</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Transocean Pontus
    Ltd.</B> <BR>
    6.125% due 08/01/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">358</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">365</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Transocean,
    Inc.</B> <BR>
    7.250% due 11/01/2025</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">212</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">188</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Trident TPI
    Holdings, Inc.</B> <BR>
    9.250% due 08/01/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">147</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">144</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Triumph Group,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.875%
    due 04/01/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">227</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">227</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.250%
    due 06/01/2022</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">84</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">84</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 09/15/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">134</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">140</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Trivium Packaging
    Finance BV</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.750%
    due 08/15/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">231</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 08/15/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,475</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 5; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.500%
    due 08/15/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">325</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Unigel Luxembourg
    S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.750%
    due 10/01/2026 (c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,000</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10.500%
    due 01/22/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,470</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,619</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>United Group
    BV</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.375%
    due 07/01/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">223</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.875%
    due 07/01/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">228</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Univision Communications,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.125%
    due 05/15/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,482</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,486</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.125%
    due 02/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,747</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,708</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Valaris PLC
    </B><BR>
    5.750% due 10/01/2044</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">132</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">57</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Vale Overseas
    Ltd.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 08/10/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">536</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">620</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 11/21/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">333</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">424</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.875%
    due 11/10/2039</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">110</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">141</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>ViaSat, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.625%
    due 09/15/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">218</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">221</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.625%
    due 04/15/2027</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">113</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">119</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Virgin Media
    Secured Finance PLC</B> <BR>
    5.500% due 05/15/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">209</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>VOC Escrow Ltd.
    </B><BR>
    5.000% due 02/15/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">67</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">70</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Wyndham Destinations,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.900%
    due 03/01/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">207</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.250%
    due 03/01/2022</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.400%
    due 04/01/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">53</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">234,796</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">UTILITIES
    6.9%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Edison International</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.400%
    due 09/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">188</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">186</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.950%
    due 03/15/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 06/15/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">127</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">143</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Frontier Communications
    Corp. </B><BR>
    8.000% due 04/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">316</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">334</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Gazprom Neft
    OAO Via GPN Capital S.A.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.375%
    due 09/19/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,079</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 11/27/2023 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">25,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">28,212</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Odebrecht Drilling
    Norbe Ltd. </B><BR>
    6.350% due 12/01/2021 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,411</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,404</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Odebrecht Offshore
    Drilling Finance Ltd.</B> <BR>
    6.720% due 12/01/2022 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,480</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,314</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Pacific Gas
    &amp; Electric Co.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.450%
    due 08/15/2022 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">858</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">852</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.950%
    due 03/01/2026 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">996</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">986</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.250%
    due 09/15/2021 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">171</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">171</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.250%
    due 06/15/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,093</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,090</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.300%
    due 03/15/2027 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,689</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,681</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.300%
    due 12/01/2027 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,190</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,164</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.400%
    due 08/15/2024 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">727</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">732</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.500%
    due 10/01/2020 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,783</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,796</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.500%
    due 06/15/2025 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,278</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,278</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.750%
    due 02/15/2024 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">615</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">624</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.750%
    due 08/15/2042 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">58</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">56</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.850%
    due 11/15/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">89</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">90</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.000%
    due 12/01/2046 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.250%
    due 05/15/2021 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,340</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,369</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.250%
    due 08/01/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,310</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,426</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.300%
    due 03/15/2045 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">233</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">236</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.500%
    due 12/15/2041 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">534</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">542</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.600%
    due 06/15/2043 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">107</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">112</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.650%
    due 08/01/2028 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,633</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,804</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.750%
    due 02/15/2044 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,890</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,078</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.125%
    due 11/15/2043 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,335</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,635</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.400%
    due 01/15/2040 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">46</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">52</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.800%
    due 03/01/2037 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,885</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,051</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.050%
    due 03/01/2034 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,823</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,498</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 03/01/2039 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,776</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,060</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.350%
    due 02/15/2038 ^(e)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">734</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">859</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Petrobras Global
    Finance BV</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.093%
    due 01/15/2030</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,630</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,702</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 12/14/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,196</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,744</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.625%
    due 01/16/2034 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">700</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,022</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.850%
    due 06/05/2115</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">199</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">228</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Rio Oil Finance
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.200%
    due 04/06/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">330</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">379</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9.250%
    due 07/06/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,680</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,241</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9.750%
    due 01/06/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,282</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,676</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Southern California
    Edison Co.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.650%
    due 03/01/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 04/01/2035</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">39</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 01/15/2034</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.650%
    due 04/01/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">189</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">233</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 6; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sprint Communications,
    Inc. </B><BR>
    6.000% due 11/15/2022</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">185</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">197</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sprint Corp.
    </B><BR>
    7.250% due 09/15/2021 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">543</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">581</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Talen Energy
    Supply LLC</B> <BR>
    6.625% due 01/15/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">61</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Transocean Poseidon
    Ltd.</B> <BR>
    6.875% due 02/01/2027 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">320</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">331</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Transocean Sentry
    Ltd.</B> <BR>
    5.375% due 05/15/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">301</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">106,697</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Corporate Bonds &amp; Notes (Cost $568,634)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">589,519</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CONVERTIBLE
    BONDS &amp; NOTES 0.5%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">INDUSTRIALS
    0.5%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Caesars Entertainment
    Corp. </B><BR>
    5.000% due 10/01/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,394</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,474</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">UTILITIES
    0.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ensco Jersey
    Finance Ltd.</B> <BR>
    3.000% due 01/31/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">45</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Convertible Bonds &amp; Notes (Cost $8,244)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,519</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MUNICIPAL
    BONDS &amp; NOTES 0.5%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ILLINOIS
    0.1%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Chicago, Illinois
    General Obligation Bonds, Series 2015</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.375%
    due 01/01/2033</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">87</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">104</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.750%
    due 01/01/2042</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">129</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">148</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Illinois State
    General Obligation Bonds, (BABs), Series 2010</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.725%
    due 04/01/2035</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">70</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">82</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.350%
    due 07/01/2035</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">61</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Illinois State
    General Obligation Bonds, Series 2003</B> <BR>
    5.100% due 06/01/2033</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">580</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">629</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,024</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TEXAS
    0.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Texas Public
    Finance Authority Revenue Notes, Series 2014</B> <BR>
    8.250% due 07/01/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">100</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">101</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">WEST
    VIRGINIA 0.4%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Tobacco Settlement
    Finance Authority, West Virginia Revenue Bonds, Series 2007</B> <BR>
    0.000% due 06/01/2047 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">95,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,259</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Municipal Bonds &amp; Notes (Cost $7,240)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,384</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S.
    GOVERNMENT AGENCIES 4.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fannie Mae</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.902%
    due 07/25/2041 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,898</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">590</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.052%
    due 10/25/2040 &bull;(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,713</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">736</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.332%
    due 12/25/2037 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">203</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">30</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.502%
    due 09/25/2037 &bull;(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">711</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">129</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.510%
    due 02/25/2038 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,008</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">215</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.632%
    due 11/25/2036 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">109</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.702%
    due 06/25/2037 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">409</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">57</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.962%
    due 03/25/2038 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,579</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">311</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.082%
    due 06/25/2023 &bull;(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">931</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">69</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.568%
    due 07/25/2029 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,830</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,925</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.768%
    due 07/25/2029 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,460</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,903</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.834%
    due 01/25/2041 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,985</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,972</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Freddie Mac</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 02/25/2046 - 11/25/2050 (b)(h)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">40,392</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,526</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.100%
    due 02/25/2046 - 11/25/2050 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">249,486</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">538</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.100%
    due 11/25/2050 (a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">268,020</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,422</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.079%
    due 11/25/2045 ~(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23,213</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,243</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.256%
    due 04/25/2025 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,680</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,579</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.383%
    due 05/15/2037 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">150</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.443%
    due 07/15/2036 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,034</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">368</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.553%
    due 09/15/2036 &bull;(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">702</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">138</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.673%
    due 04/15/2036 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">850</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">110</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.753%
    due 09/15/2036 &bull;(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,228</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">279</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.168%
    due 10/25/2029 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,350</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,716</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.249%
    due 09/15/2041 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">602</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">884</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11.018%
    due 03/25/2029 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,096</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,626</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11.806%
    due 09/15/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">72</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12.518%
    due 10/25/2028 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">496</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">691</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 7; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12.768%
    due 03/25/2025 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,179</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; padding-left: 0.1in; text-align: right; text-indent: -0.1in; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,191</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    U.S. Government Agencies (Cost $56,469)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62,353</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">NON-AGENCY
    MORTGAGE-BACKED SECURITIES 59.7%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Alba PLC</B>
    <BR>
    1.041% due 12/15/2038 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,843</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,705</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Alkali Europe
    SARL</B> <BR>
    3.000% due 05/15/2021 &laquo;&bull;(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,333</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>American Home
    Mortgage Assets Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.308%
    due 08/25/2037 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,992</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,264</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.558%
    due 11/25/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,350</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,330</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>American Home
    Mortgage Investment Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.618%
    due 09/25/2045 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,141</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,030</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.918%
    due 02/25/2044 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,739</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,813</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Banc of America
    Alternative Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 06/25/2037</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">221</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">220</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 06/25/2046</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">93</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">92</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Banc of America
    Funding Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 06/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,745</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,780</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.254%
    due 04/20/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,884</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,104</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.476%
    due 08/25/2047 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,428</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,147</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.494%
    due 02/20/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,612</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,631</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.178%
    due 03/20/2036 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,133</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,095</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.201%
    due 01/20/2047 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">175</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">170</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.481%
    due 01/25/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">293</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">294</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.119%
    due 07/26/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,725</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,963</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Banc of America
    Mortgage Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.646%
    due 01/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">537</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">523</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.747%
    due 10/20/2046 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">176</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">119</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bancaja Fondo
    de Titulizacion de Activos</B> <BR>
    0.000% due 10/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,602</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,742</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bayview Commercial
    Asset Trust </B><BR>
    2.448% due 08/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">96</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">95</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>BCAP LLC Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.714%
    due 04/26/2037 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,595</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,216</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.030%
    due 02/26/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,371</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,190</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.161%
    due 11/26/2035 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,183</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,020</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.313%
    due 07/26/2045 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,018</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,666</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.412%
    due 07/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,186</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,190</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.606%
    due 10/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,899</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,804</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.773%
    due 06/26/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,279</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,923</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.155%
    due 03/26/2035 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,144</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,076</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 12/26/2035 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,382</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,495</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/26/2037 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,859</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,535</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bear Stearns
    Adjustable Rate Mortgage Trust</B> <BR>
    4.020% due 06/25/2047 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,936</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,832</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bear Stearns
    ALT-A Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 02/25/2034 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,842</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,512</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.925%
    due 11/25/2035 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,974</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,974</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.113%
    due 09/25/2035 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,998</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,502</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>BRAD Resecuritization
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.190%
    due 03/12/2021 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,141</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">479</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.550%
    due 03/12/2021 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,578</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,573</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CD Commercial
    Mortgage Trust </B><BR>
    5.398% due 12/11/2049 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">25</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CD Mortgage
    Trust</B> <BR>
    5.688% due 10/15/2048</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,102</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,191</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Chase Mortgage
    Finance Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.999%
    due 01/25/2036 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,927</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,376</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.027%
    due 03/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,107</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,098</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Citigroup Commercial
    Mortgage Trust</B> <BR>
    5.776% due 12/10/2049 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">405</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">265</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Citigroup Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.197%
    due 02/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,784</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,325</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.218%
    due 09/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,261</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,147</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.269%
    due 10/25/2035 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,420</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,462</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.980%
    due 03/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">282</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">286</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Commercial Mortgage
    Loan Trust </B><BR>
    6.236% due 12/10/2049 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,186</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,376</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Countrywide
    Alternative Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.799%
    due 12/25/2035 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,815</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">373</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.666%
    due 12/25/2035 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,863</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">327</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.208%
    due 09/25/2046 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,659</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,038</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.268%
    due 06/25/2037 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,540</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,052</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.748%
    due 11/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,720</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,076</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.935%
    due 06/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">160</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">138</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.132%
    due 07/25/2036 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,030</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,380</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 02/25/2020</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 07/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,401</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,186</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 11/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">610</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">546</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 01/25/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">117</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">118</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 04/25/2037 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,353</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,869</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 01/25/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">208</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">168</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 01/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,209</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,302</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 04/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,952</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,948</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 8; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/25/2036 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">350</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">296</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 11/25/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">333</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">285</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 12/25/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">184</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">126</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 01/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,452</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,341</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 02/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,039</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">652</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 03/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,938</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,068</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 04/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,929</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,043</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 07/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">332</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">330</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 09/25/2037</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,312</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,801</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">26.890%
    due 05/25/2037 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">932</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,864</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Countrywide
    Home Loan Mortgage Pass-Through Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.358%
    due 03/25/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,362</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">548</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.618%
    due 03/25/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">222</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">200</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.784%
    due 11/20/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,343</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,440</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.888%
    due 03/25/2046 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,304</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,018</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.295%
    due 06/25/2047 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,107</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,979</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000%
    due 11/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">42</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">35</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 12/25/2034</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">114</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">114</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 11/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">46</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 07/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">230</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">191</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/25/2037 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,043</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,973</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit Suisse
    Mortgage Capital Certificates</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.819%
    due 02/27/2047 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">45,694</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">28,421</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.990%
    due 07/26/2037 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,147</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,563</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.111%
    due 04/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,226</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,088</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.335%
    due 06/25/2036 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,181</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,079</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.000%
    due 08/26/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,454</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,665</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.000%
    due 08/27/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,625</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,105</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit Suisse
    Mortgage Capital Mortgage-Backed Trust</B> <BR>
    5.896% due 04/25/2036 &thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,873</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,211</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit Suisse
    Mortgage Capital Trust</B> <BR>
    6.500% due 07/26/2036 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,627</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,549</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Debussy DTC
    PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.930%
    due 07/12/2025</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,866</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,411</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.250%
    due 07/12/2025</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,082</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Deutsche ALT-A
    Securities, Inc. Mortgage Loan Trust</B> <BR>
    6.000% due 10/25/2021 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">236</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Dssv SARL</B>
    <BR>
    3.000% due 10/15/2024 &laquo;&bull;(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,333</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Eurosail PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 06/13/2045 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,148</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.780%
    (BP0003M + 1.000%) due 06/13/2045 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,317</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,311</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.030%
    (BP0003M + 1.250%) due 06/13/2045 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,559</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,344</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.530%
    (BP0003M + 1.750%) due 06/13/2045 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,045</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,460</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.280%
    (BP0003M + 3.500%) due 06/13/2045 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,447</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,676</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>First Horizon
    Alternative Mortgage Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.182%
    due 08/25/2035 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">950</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">179</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.082%
    due 11/25/2036 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,080</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">346</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>First Horizon
    Mortgage Pass-Through Trust</B> <BR>
    5.500% due 08/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">408</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">318</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Fondo de Titulizacion
    de Activos UCI</B> <BR>
    0.000% due 06/16/2049 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,255</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,310</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GC Pastor Hipotecario
    FTA</B> <BR>
    0.000% due 06/21/2046 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,114</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,891</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GreenPoint Mortgage
    Funding Trust</B> <BR>
    2.218% due 12/25/2046 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,555</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,366</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Grifonas Finance
    PLC</B> <BR>
    0.000% due 08/28/2039 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,044</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,064</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GS Mortgage
    Securities Corp. Trust</B> <BR>
    4.744% due 10/10/2032 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,700</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,556</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GSR Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.267%
    due 11/25/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">183</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">146</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 08/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">834</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">511</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>HarborView Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.297%
    due 03/19/2036 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,115</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,661</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.557%
    due 01/19/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,910</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,533</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.694%
    due 06/20/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,346</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,356</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.944%
    due 06/20/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,926</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,842</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Hipocat FTA</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 10/24/2039 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,573</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,941</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 01/15/2050 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,432</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,579</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IM Pastor Fondo
    de Titluzacion Hipotecaria</B> <BR>
    0.000% due 03/22/2043 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,740</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,722</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Impac CMB Trust
    </B><BR>
    2.738% due 10/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">220</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">221</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Impac Secured
    Assets Trust</B> <BR>
    2.128% due 05/25/2037 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IndyMac Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 11/25/2046 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,071</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,769</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.268%
    due 02/25/2037 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,726</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,827</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.318%
    due 07/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">529</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">439</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.481%
    due 03/25/2037 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.742%
    due 06/25/2037 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,064</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,468</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.865%
    due 02/25/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">315</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">305</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 9; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>JPMorgan Alternative
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 06/25/2037 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">30,572</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,609</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.835%
    due 11/25/2036 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">696</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">667</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.960%
    due 12/25/2036 ^&thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,980</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,916</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>JPMorgan Chase
    Commercial Mortgage Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.650%
    due 06/15/2045 ~(a)(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">40,830</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,052</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.927%
    due 01/12/2043 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">468</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">468</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>JPMorgan Mortgage
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.009%
    due 10/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">780</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">695</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.237%
    due 06/25/2037 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,785</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,547</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Lavender Trust
    </B><BR>
    6.000% due 11/26/2036 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,085</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,416</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>LB-UBS Commercial
    Mortgage Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.355%
    due 02/15/2040 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,161</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.981%
    due 02/15/2040 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,441</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,445</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Lehman Mortgage
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/25/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">977</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">946</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 09/25/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">596</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">521</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.500%
    due 09/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,708</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,151</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.250%
    due 09/25/2037 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">31,609</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,060</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Lehman XS Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.298%
    due 07/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23,951</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,402</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.518%
    due 07/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,530</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,121</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>MASTR Adjustable
    Rate Mortgages Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 05/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,157</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,875</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.698%
    due 05/25/2047 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,247</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,639</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>MASTR Alternative
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.368%
    due 03/25/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,195</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,627</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.418%
    due 03/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">26,693</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,872</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Merrill Lynch
    Mortgage Investors Trust</B> <BR>
    4.542% due 05/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,831</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,726</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Morgan Stanley
    Re-REMIC Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.577%
    due 07/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,445</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,516</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.635%
    due 09/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,950</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,049</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.084%
    due 01/26/2035 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,453</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,454</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.084%
    due 02/26/2037 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,119</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,228</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 04/26/2036 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,969</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,022</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Mortgage Equity
    Conversion Asset Trust</B> <BR>
    4.000% due 07/25/2060</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,028</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,970</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Motel 6 Trust
    </B><BR>
    8.954% due 08/15/2024 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,129</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,423</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Natixis Commercial
    Mortgage Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.028%
    due 11/15/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,280</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,272</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.028%
    due 11/15/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">555</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">546</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Newgate Funding
    PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.856%
    due 12/15/2050 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,695</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,765</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.981%
    due 12/15/2050 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,480</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,657</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.106%
    due 12/15/2050 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,236</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,376</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.031%
    due 12/15/2050 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,558</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,026</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Nomura Resecuritization
    Trust </B><BR>
    6.969% due 09/26/2035 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,968</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,905</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>NovaStar Mortgage
    Funding Trust </B><BR>
    1.632% due 09/25/2046 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">440</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">417</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>RBSSP Resecuritization
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.392%
    due 07/26/2045 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,150</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,301</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.569%
    due 05/26/2037 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,367</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,790</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 03/26/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,033</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,853</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Residential
    Accredit Loans, Inc. Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.198%
    due 07/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,856</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,207</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.208%
    due 05/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,824</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,592</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.446%
    due 01/25/2046 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,051</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,824</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.738%
    due 01/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">525</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">471</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 08/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">751</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">758</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 06/25/2036</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">294</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">276</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 09/25/2036 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,627</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,169</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.000%
    due 10/25/2037 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,730</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,817</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Residential
    Asset Securitization Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.500%
    due 07/25/2035</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">784</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">675</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 08/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,137</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,703</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Residential
    Funding Mortgage Securities, Inc. Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.427%
    due 08/25/2036 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,326</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,166</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.850%
    due 11/25/2035 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">134</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">130</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 04/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,151</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,124</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Rite Aid Pass-Through
    Certificates </B><BR>
    6.782% due 01/02/2021 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,898</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,075</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>RiverView HECM
    Trust</B> <BR>
    2.980% due 05/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,002</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,454</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Sequoia Mortgage
    Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.414%
    due 07/20/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,696</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">971</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.244%
    due 10/20/2027 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">901</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">883</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Structured Adjustable
    Rate Mortgage Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.062%
    due 02/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,858</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,603</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.080%
    due 08/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,249</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,434</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.424%
    due 04/25/2047 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,757</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,300</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Structured Asset
    Mortgage Investments Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.208%
    due 07/25/2046 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,391</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,496</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 10; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.358%
    due 03/25/2037 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">718</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">432</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.237%
    due 02/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,580</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,371</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>SunTrust Alternative
    Loan Trust </B><BR>
    5.132% due 04/25/2036 ^&bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,632</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,556</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>TBW Mortgage-Backed
    Trust</B> <BR>
    6.500% due 07/25/2036 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,702</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,676</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Theatre Hospitals
    PLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.767%
    due 10/15/2031 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,476</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,298</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.767%
    due 10/15/2031 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,102</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,723</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.190%
    due 12/15/2024 &laquo;(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">364</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.517%
    due 10/15/2031 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">779</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">882</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>WaMu Mortgage
    Pass-Through Certificates Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.405%
    due 07/25/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">686</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">582</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.438%
    due 06/25/2044 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">203</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.196%
    due 06/25/2047 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,530</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,260</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.256%
    due 07/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,693</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,195</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.326%
    due 10/25/2046 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">389</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">371</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.892%
    due 03/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,290</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,207</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.941%
    due 02/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">394</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">379</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Washington Mutual
    Mortgage Pass-Through Certificates Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.258%
    due 01/25/2047 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,504</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,730</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.618%
    due 07/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,013</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,065</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 04/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,130</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,035</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Wells Fargo
    Alternative Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.908%
    due 07/25/2037 ^~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,996</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,869</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 07/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">329</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">321</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Wells Fargo
    Mortgage Loan Trust </B><BR>
    5.220% due 04/27/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,358</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,810</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Wells Fargo
    Mortgage-Backed Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 06/25/2037 ^</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">180</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">182</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Non-Agency Mortgage-Backed Securities (Cost $785,067)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">925,523</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ASSET-BACKED
    SECURITIES 38.9%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>ACE Securities
    Corp. Home Equity Loan Trust</B> <BR>
    2.978% due 08/25/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,413</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,003</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Aegis Asset-Backed
    Securities Trust Mortgage Pass-Through Certificates</B> <BR>
    4.118% due 09/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">740</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">738</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Asset-Backed
    Funding Certificates Trust</B> <BR>
    3.068% due 03/25/2034 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">989</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">930</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Bear Stearns
    Asset-Backed Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.568%
    due 06/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,846</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,833</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.477%
    due 10/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,739</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,563</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Citigroup Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.178%
    due 12/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,674</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,587</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.238%
    due 12/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,648</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,971</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.718%
    due 11/25/2046 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,100</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,694</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.879%
    due 03/25/2036 ^&thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,965</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,314</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.852%
    due 05/25/2036 ^&thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">478</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">268</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Citigroup Mortgage
    Loan Trust, Inc.</B> <BR>
    2.278% due 03/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,759</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,202</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Conseco Finance
    Corp.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.060%
    due 02/01/2031 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,992</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,972</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.500%
    due 03/01/2030 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,686</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,251</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Conseco Finance
    Securitizations Corp.</B> <BR>
    9.163% due 03/01/2033 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,171</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,569</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Cork Street
    CLO Designated Activity Co.</B> <BR>
    0.000% due 11/27/2028 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,667</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,702</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Coronado CDO
    Ltd.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.633%
    due 09/04/2038 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,396</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,299</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 09/04/2038</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,753</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,374</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Countrywide
    Asset-Backed Certificates</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.148%
    due 12/25/2036 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,827</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,096</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.188%
    due 06/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,905</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,901</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 06/25/2037 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,615</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,879</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.218%
    due 06/25/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,704</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,344</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.278%
    due 01/25/2046 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">34,748</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">26,801</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.438%
    due 06/25/2036 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,642</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.425%
    due 02/25/2036 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">44</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">45</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Countrywide
    Asset-Backed Certificates Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.258%
    due 03/25/2047 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,655</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,987</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.748%
    due 04/25/2036 ^&bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,355</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.368%
    due 11/25/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,292</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">475</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.859%
    due 10/25/2046 ^~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,302</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,196</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Countrywide
    Home Equity Loan Trust</B> <BR>
    5.657% due 03/25/2034 ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">57</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">58</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Crecera Americas
    LLC</B> <BR>
    5.563% due 08/31/2020 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,333</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit-Based
    Asset Servicing &amp; Securitization CBO Corp.</B> <BR>
    2.362% due 09/06/2041 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,723</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,661</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Credit-Based
    Asset Servicing &amp; Securitization LLC</B> <BR>
    6.250% due 10/25/2036 &thorn;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,738</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,971</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>CSAB Mortgage-Backed
    Trust</B> <BR>
    5.500% due 05/25/2037 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,526</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,154</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>ECAF Ltd.</B>
    <BR>
    4.947% due 06/15/2040 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,369</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,372</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 11; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>EMC Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.958%
    due 04/25/2042 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,015</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,004</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.393%
    due 04/25/2042 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,813</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,506</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>First Franklin
    Mortgage Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.488%
    due 11/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,553</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.518%
    due 12/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23,487</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,392</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Glacier Funding
    CDO Ltd.</B> <BR>
    2.557% due 08/04/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,274</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,494</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GMAC Mortgage
    Corp. Home Equity Loan Trust</B> <BR>
    6.749% due 12/25/2037 &thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,573</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,640</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>GSAMP Trust
    </B><BR>
    3.893% due 06/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,253</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,227</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Hout Bay Corp.
    </B><BR>
    2.317% due 07/05/2041 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">34,496</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,883</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Hyundai Auto
    Receivables Trust </B><BR>
    1.000% due 12/15/2022 &laquo;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,902</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>IndyMac Home
    Equity Mortgage Loan Asset-Backed Trust</B> <BR>
    6.196% due 12/25/2031 ^&thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">573</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">224</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>JPMorgan Mortgage
    Acquisition Corp.</B> <BR>
    2.638% due 12/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,459</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,196</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>KGS-Alpha SBA
    COOF Trust</B> <BR>
    1.106% due 04/25/2038 &laquo;~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,778</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">41</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Lehman XS Trust
    </B><BR>
    6.170% due 06/24/2046 &thorn;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,856</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,857</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Long Beach Mortgage
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.208%
    due 02/25/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,172</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,675</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.538%
    due 08/25/2045 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,633</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,147</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.723%
    due 11/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,159</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,757</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.068%
    due 02/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">121</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">121</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.068%
    due 06/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,439</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Marlette Funding
    Trust</B> <BR>
    0.000% due 09/17/2029 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,174</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>MASTR Asset-Backed
    Securities Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.168%
    due 03/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,870</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,815</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.588%
    due 01/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">396</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Mid-State Capital
    Corp. Trust </B><BR>
    6.742% due 10/15/2040</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,089</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,854</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Morgan Stanley
    ABS Capital, Inc. Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.118%
    due 11/25/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,670</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,162</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.348%
    due 02/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,854</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,589</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.053%
    due 01/25/2035 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,951</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,238</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Morgan Stanley
    Home Equity Loan Trust</B> <BR>
    2.248% due 04/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">29,712</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,117</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>National Collegiate
    Commutation Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 03/25/2038</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,600</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,640</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 03/25/2038 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">26,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,539</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Oakwood Mortgage
    Investors, Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.840%
    due 11/15/2029 ~(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,733</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,951</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.490%
    due 10/15/2030 ^(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,211</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">473</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Ocean Trails
    CLO</B> <BR>
    7.276% due 08/13/2025 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,497</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Option One Mortgage
    Loan Trust </B><BR>
    2.378% due 01/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,545</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Palisades CDO
    Ltd.</B> <BR>
    3.228% due 07/22/2039 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,570</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Popular ABS
    Mortgage Pass-Through Trust</B> <BR>
    3.268% due 08/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,663</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,762</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Residential
    Asset Mortgage Products Trust</B> <BR>
    2.993% due 04/25/2034 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,948</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,893</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Residential
    Asset Securities Corp. Trust</B> <BR>
    2.258% due 08/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,553</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Saxon Asset
    Securities Trust </B><BR>
    2.468% due 11/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12,729</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>SLM Student
    Loan EDC Repackaging Trust</B> <BR>
    0.000% due 10/28/2029 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,545</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>SLM Student
    Loan Trust</B> <BR>
    0.000% due 01/25/2042 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,821</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>SMB Private
    Education Loan Trust </B><BR>
    0.000% due 10/15/2048 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,068</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>SoFi Professional
    Loan Program LLC</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 03/25/2036 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">80</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">717</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 01/25/2039 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,180</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,914</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 05/25/2040 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,637</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 07/25/2040 &laquo;(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">47</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,122</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.000%
    due 09/25/2040 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,003</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,175</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Soloso CDO Ltd.
    </B><BR>
    2.623% due 10/07/2037 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,800</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,966</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Soundview Home
    Loan Trust</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.298%
    due 06/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,132</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,296</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.518%
    due 03/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,905</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,493</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>South Coast
    Funding Ltd.</B> <BR>
    2.563% due 01/06/2041 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">146,705</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">35,287</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Structured Asset
    Securities Corp.</B> <BR>
    8.018% due 05/25/2032 ^&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,112</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,157</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Symphony CLO
    Ltd.</B> <BR>
    6.903% due 07/14/2026 &bull;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,201</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 12; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Tropic CDO Ltd.
    </B><BR>
    2.623% due 07/15/2036 &bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,415</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,946</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Asset-Backed Securities (Cost $567,817)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">603,440</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SOVEREIGN
    ISSUES 4.3%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Argentina Government
    International Bond</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.375%
    due 01/15/2023</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">168</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.380%
    due 12/31/2038 &thorn;(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,491</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,707</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.875%
    due 01/15/2022 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,300</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.250%
    due 01/15/2028</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">127</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.250%
    due 11/09/2047</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">100</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">44</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.820%
    due 12/31/2033 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,345</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9,161</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.820%
    due 12/31/2033</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">405</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">209</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">51.603%
    (BADLARPP) due 10/04/2022 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">138</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55.469%
    (BADLARPP + 2.000%) due 04/03/2022 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">147,204</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,092</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62.614%
    (BADLARPP + 3.250%) due 03/01/2020 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">79.499%
    (ARLLMONP) due 06/21/2020 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">235,766</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,778</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Autonomous City
    of Buenos Aires Argentina</B> <BR>
    62.660% due 03/29/2024 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">866,312</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,088</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Autonomous Community
    of Catalonia</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.900%
    due 09/15/2021</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">59</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.950%
    due 02/11/2020</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Export-Credit
    Bank of Turkey </B><BR>
    8.250% due 01/24/2024 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">600</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">636</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Peru Government
    International Bond</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.400%
    due 08/12/2034</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PEN</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.700%
    due 08/12/2024</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">180</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">60</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.940%
    due 02/12/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,459</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,513</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.940%
    due 02/12/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.150%
    due 08/12/2032 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,180</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">400</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.350%
    due 08/12/2028 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,137</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,924</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.900%
    due 08/12/2037</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">206</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">75</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.950%
    due 08/12/2031</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,746</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,356</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.200%
    due 08/12/2026</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,148</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,939</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Provincia de
    Buenos Aires</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">57.850%
    (BADLARPP + 3.750%) due 04/12/2025 ~(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">717,986</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,367</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">63.194%
    due 05/31/2022 &bull;(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,910</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Republic of
    South Africa Government International Bond</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.850%
    due 09/30/2029</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,393</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.750%
    due 09/30/2049</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,387</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Turkey Government
    International Bond</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.250%
    due 06/14/2025</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">300</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">315</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.625%
    due 03/31/2025 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,900</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,492</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.200%
    due 02/16/2026 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,709</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7.625%
    due 04/26/2029 (m)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,400</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,817</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Venezuela Government
    International Bond</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.000%
    due 12/09/2020 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">590</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">66</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.250%
    due 10/13/2024 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">136</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9.250%
    due 09/15/2027 ^(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">734</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">83</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Sovereign Issues (Cost $118,265)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">67,498</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SHARES</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">COMMON
    STOCKS 1.8%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">COMMUNICATION
    SERVICES 0.3%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Clear Channel
    Outdoor Holdings, Inc. (f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,495,047</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,767</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>iHeartMedia,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,108</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>iHeartMedia,
    Inc. 'A' (f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">82,474</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,237</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,021</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CONSUMER
    DISCRETIONARY 1.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Caesars Entertainment
    Corp. (f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,283,486</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,966</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Desarrolladora
    Homex S.A.B. de C.V. (f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">719,113</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Urbi Desarrollos
    Urbanos S.A.B. de C.V. (f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">95,515</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,976</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ENERGY
    0.1%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Dommo Energia
    S.A. &laquo;(f)(k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,240,061</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,307</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Dommo Energia
    S.A. SP - ADR &laquo;(f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,627</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">35</FONT></TD>
    </TR>
<TR STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif">
    <TD COLSPAN="5" STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"> </FONT></TD></TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,342</FONT></TD>
    </TR>
<TR STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif">
    <TD COLSPAN="5" STYLE="position: relative; top: -1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"> </FONT></TD></TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">INDUSTRIALS
    0.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Westmoreland
    Mining Holdings LLC &laquo;(k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">358</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">UTILITIES
    0.4%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Eneva S.A. (f)(k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,054</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">74</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Eneva S.A. (k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,648</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<!-- Field: Page; Sequence: 13; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0">&nbsp;</P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%; font: 8pt Arial, Helvetica, Sans-Serif"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">September
                           30, 2019</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></P></TD></TR>
</TABLE>
<P STYLE="margin: 0">&nbsp;</P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>TexGen Power
    LLC &laquo;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">130,864</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,758</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,036</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Common Stocks (Cost $38,371)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27,379</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">WARRANTS
    0.5%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">COMMUNICATION
    SERVICES 0.5%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>iHeartMedia,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">537,144</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,057</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Warrants (Cost $9,849)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,057</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PREFERRED
    SECURITIES 1.6%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BANKING
    &amp; FINANCE 1.6%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Nationwide Building
    Society</B><BR>
    10.250% ~</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">124,916</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,114</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Preferred Securities (Cost $25,708)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,114</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">REAL
    ESTATE INVESTMENT TRUSTS 0.9%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">REAL
    ESTATE 0.9%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>VICI Properties,
    Inc.</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">594,589</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,467</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Real Estate Investment Trusts (Cost $7,462)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,467</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SHORT-TERM
    INSTRUMENTS 2.6%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">REPURCHASE
    AGREEMENTS (l) 1.4%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: bold 8pt Arial, Helvetica, Sans-Serif; padding-top: 6pt; padding-bottom: 6pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt; font-weight: normal">22,110</FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; font: 8pt Arial, Helvetica, Sans-Serif; width: 74%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PRINCIPAL<BR>
    AMOUNT<BR>
    (000s)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 12pt; padding-bottom: 6pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif; width: 10%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARGENTINA
    TREASURY BILLS 0.1%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8.874% due 02/26/2020
    - 08/27/2020 (g)(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">125,893</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,536</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S.
    TREASURY BILLS 1.1%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; text-align: right; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; padding-bottom: 6pt; font: bold 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.933% due 10/22/2019
    - 12/26/2019 (g)(h)(m)(o)(q)</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,751</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,725</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Short-Term Instruments (Cost $42,473)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">40,371</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Investments in Securities (Cost $2,480,449)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 1pt; padding-bottom: 1pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 1pt; padding-bottom: 1pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,612,210</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total
    Investments 168.5% (Cost $2,480,449)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,612,210</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Financial
    Derivative Instruments (n)(p) (0.5)</B>%(Cost or Premiums, net $(5,465))</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,754)</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Other
    Assets and Liabilities, net (68.0)%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt dotted; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 2pt; padding-bottom: 2pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,054,575)</FONT></TD>
    </TR>
<TR STYLE="font: 8pt Arial, Helvetica, Sans-Serif">
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net
    Assets 100.0%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; padding-bottom: 2pt; text-align: right; font: 8pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font: 8pt Arial, Helvetica, Sans-Serif; padding-top: 2pt; padding-bottom: 2pt; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,549,881</FONT></TD>
    </TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;&nbsp;</FONT></P>

<!-- Field: Page; Sequence: 14; Value: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt">&nbsp;</P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->



<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 83%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>


<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>NOTES TO CONSOLIDATED SCHEDULE
    OF INVESTMENTS:&nbsp;&nbsp;&nbsp;</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>* A zero balance may reflect
    actual amounts rounding to less than one thousand.</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>&curren;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>The
    geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation
    of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>^</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Security is
    in default.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>&laquo;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Security valued
    using significant unobservable inputs (Level 3).</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>~</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Variable or
    Floating rate security.&nbsp;&nbsp;Rate shown is the rate in effect as of period end.&nbsp;&nbsp;Certain variable rate securities
    are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current
    market conditions.&nbsp;&nbsp;Reference rate is as of reset date, which may vary by security.&nbsp;&nbsp;These securities
    may not indicate a reference rate and/or spread in their description.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>&bull;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Rate shown is
    the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert
    to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>&thorn;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Coupon represents
    a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period
    end.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(a)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Interest only
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(b)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Principal only
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(c)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>When-issued
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(d)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Payment in-kind
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(e)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Security is
    not accruing income as of the date of this report.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Security did
    not produce income within the last twelve months.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(g)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Coupon represents&nbsp;a
    weighted average&nbsp;yield to maturity.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(h)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Zero coupon
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(i)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Perpetual maturity;
    date shown, if applicable, represents next contractual call date.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(j)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Contingent convertible
    security.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>RESTRICTED SECURITIES:</B></FONT></TD></TR>
</TABLE>
<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 50%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Issuer
    Description</FONT></TD>
    <TD STYLE="width: 15%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Acquisition</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Cost</FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Market</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Value</FONT></FONT></TD>
    <TD STYLE="width: 10%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Market
    Value</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">as Percentage</FONT><BR>
    <FONT STYLE="font-size: 8pt">of Net Assets</FONT></FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Alkali Europe SARL 3.000% due 05/15/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/26/2019</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,364</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,333</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.05</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Buffalo Thunder Development Authority 0.000% due
    11/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/08/2014</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.00</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Dssv SARL 3.000% due 10/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/26/2019</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,364</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,333</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.05</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Dommo Energia S.A.</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/21/2017 - 12/26/2017</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">322</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,307</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.09</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Eneva S.A.</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/21/2017</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">43</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">74</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.00</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Eneva S.A.</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/25/2019</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">132</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">204</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.02</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pinnacol Assurance 8.625% due 06/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/23/2014</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,200</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,967</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.71</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Preylock Reitman Santa Cruz Mezz LLC TBD% (LIBOR03M
    + 5.500%) due 11/09/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">04/09/2018</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,540</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,572</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.36</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Theatre Hospitals PLC 4.190% due 12/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/17/2018</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.00</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Westmoreland Mining Holdings LLC</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/26/2019</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.00</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD></TD>
    <TD STYLE="text-align: right"></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">48,978</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">50,796</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.27</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">%</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-size: 10pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BORROWINGS
    AND OTHER FINANCING TRANSACTIONS</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-size: 10pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; width: 2%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(l)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 98%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>REPURCHASE
    AGREEMENTS:</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 7%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Counterparty</FONT></TD>
    <TD STYLE="width: 6%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Lending</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Rate</FONT></FONT></TD>
    <TD STYLE="width: 8%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Settlement</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD STYLE="width: 7%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Maturity</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: center; padding-right: 15pt; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Principal</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Amount</FONT></FONT></TD>
    <TD STYLE="width: 31%; padding-left: 0.05in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Collateralized
    By</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Collateral</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">(Received)</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Repurchase</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Agreements,</FONT><BR>
    <FONT STYLE="font-size: 8pt">at Value</FONT></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Repurchase</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Agreement</FONT><BR>
    <FONT STYLE="font-size: 8pt">Proceeds</FONT><BR>
    <FONT STYLE="font-size: 8pt">to be</FONT><BR>
    <FONT STYLE="font-size: 8pt">Received<SUP>(1)</SUP></FONT></FONT></TD>
    <TD STYLE="width: 1%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">FICC</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.500%</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">610</FONT></TD>
    <TD STYLE="padding-left: 0.05in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S. Treasury Notes
    2.375% due 03/15/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(626)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">610</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">610</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">IND</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,500</FONT></TD>
    <TD STYLE="padding-left: 0.05in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S. Treasury Notes
    2.500% due 03/31/2023</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(21,955)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,500</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,502</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Total Repurchase Agreements</B></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(22,581)</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>22,110</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>22,112</B></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>REVERSE REPURCHASE AGREEMENTS:</B></FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 34%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Counterparty</FONT></TD>
    <TD STYLE="width: 12%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Borrowing
    Rate<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="width: 12%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Settlement
    Date</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Maturity
    Date</FONT></TD>
    <TD STYLE="width: 3%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Amount</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Borrowed<SUP>(2)</SUP></FONT></FONT></TD>
    <TD STYLE="width: 3%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Payable
    for</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Reverse</FONT><BR>
    <FONT STYLE="font-size: 8pt">Repurchase</FONT><BR>
    <FONT STYLE="font-size: 8pt">Agreements</FONT></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BCY</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.800%</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(92)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(92)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BNY</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.967</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,911)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,944)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.008</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(18,647)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(18,722)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.090</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(32,748)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(32,908)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BOS</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.680</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(682)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(683)</FONT></TD></TR>

<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.799</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,843)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,846)</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 1; Options: NewSection -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-size: 10pt; width: 83%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
</td></tr>
</TABLE>
<P STYLE="margin: 0"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 32%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.949</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/15/2019</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,598)</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,615)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.975</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,866)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,897)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BPS</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.150)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,693)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,205)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.150)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,064)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,160)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.000</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(692)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(853)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.050</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,053)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,530)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.210</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(12,174)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(14,982)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,163)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,170)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,758)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,761)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.680</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,391)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,397)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.740</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,642)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,656)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.940</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,380)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,386)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.100</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(16,887)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(16,947)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.127</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/05/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(64,020)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(64,181)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.170</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,161)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,170)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.369</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/14/2018</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(24,480)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(24,523)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRC</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.500)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,358)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,891)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.100</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,424)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,426)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.700</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(27,704)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(27,721)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.032</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,737)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,737)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.100</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(32,678)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(32,975)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.106</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,191)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,196)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.117</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,451)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,473)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.259</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,331)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,359)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.267</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,754)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,814)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CFR</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.200)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(396)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(432)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">DBL</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.006</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">01/31/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">01/31/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(38,472)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(38,671)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">FOB</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.420</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,181)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,189)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">IND</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.300)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,353)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,743)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.870</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,064)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,071)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">JML</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.400)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(939)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,024)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.300)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(667)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(727)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.300)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,413)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,167)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.250)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,552)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,691)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.200)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,047)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,141)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.150)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,297)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,773)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.127)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,531)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,028)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.077)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,052)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,147)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.200</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(300)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(327)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,527)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,345)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,647)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,419)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(345)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(424)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,149)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,876)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(616)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(759)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,772)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,106)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,626)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,925)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(35,996)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(44,290)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,100)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,353)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(183)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(225)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,784)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,342)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.400</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,903)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,908)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MBC</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.860</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,068)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,075)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.940</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,803)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,808)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MEI</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.570</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,998)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,998)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MSB</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.553</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">05/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">05/01/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(22,554)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(22,690)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">NOM</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.600</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(12,469)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(12,492)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.600</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(132)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(132)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.600</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(289)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(289)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.630</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,015)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,022)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.630</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,751)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,751)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,750)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,758)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,677)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,677)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,292)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,298)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,468)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,473)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RBC</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.180</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(19,993)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(20,080)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.329</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,179)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,193)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RCY</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.720</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,013)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,036)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RDR</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.440</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(645)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(647)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.510</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(766)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(770)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.510</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/02/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(92)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(92)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RTA</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.471</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,374)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,377)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.482</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,464)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,472)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.482</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,826)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,827)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.581</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,001)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,004)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.604</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,669)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,706)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.681</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,694)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,752)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.692</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,024)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,034)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.779</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(328)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(329)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.988</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">02/24/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(35,451)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(35,551)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.059</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/23/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(19,304)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(19,317)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.063</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/25/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,871)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,873)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.100</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,400)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,440)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.189</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(19,031)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(19,124)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.253</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,831)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,858)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.956</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,038)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,045)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SBI</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.750</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,000)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,001)</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 2 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-size: 10pt; width: 83%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
</td></tr>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 32%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.106</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/18/2019</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,568)</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,603)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.125</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(14,093)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(14,152)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.183</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,490)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,499)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SOG</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.550</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,371)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,379)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(15,620)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(15,661)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,014)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,014)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.660</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,038)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,044)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.660</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/18/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(674)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(674)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.710</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,949)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,956)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.889</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(20,286)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(20,319)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.027</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,343)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11,360)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.102</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,502)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,529)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.125</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,643)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,680)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.125</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(30,879)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(31,008)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.237</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,458)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,512)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.253</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,993)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,007)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TDM</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.350</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(523)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(523)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">UBS</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.280)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,071)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,167)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.280)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(621)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(676)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.250)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(352)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(383)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.250)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,216)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,415)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(0.250)</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(839)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(914)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.950</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,542)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,898)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.000</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,201)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,478)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.050</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,199)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,708)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.583</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/29/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/29/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,229)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,145)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.488</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,541)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,543)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.495</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,559)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,560)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,937)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,939)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(35,721)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(35,741)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.550</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(534)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(534)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.560</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,244)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,248)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.570</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(23,795)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(23,827)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.600</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(21,446)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(21,510)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.602</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/28/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,162)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,167)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.606</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,655)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8,680)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.610</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(12,715)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(12,759)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.610</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,933)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,942)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.610</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/26/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,125)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,126)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.610</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,650)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,650)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.630</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(482)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(484)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.631</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(969)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(973)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.637</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,710)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,721)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(492)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(494)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,905)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,922)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,299)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,303)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.670</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,452)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,454)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.670</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,262)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4,268)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.690</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(461)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(463)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.690</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,099)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,109)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.700</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,898)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,916)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.706</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,147)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3,157)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.710</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,737)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,738)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.730</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,772)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,781)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.737</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,760)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,767)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.760</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,655)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,661)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.830</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,447)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,455)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.840</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">08/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,397)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,439)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.230</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">07/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,327)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,335)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Total Reverse Repurchase Agreements</B></FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(1,099,684)</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(m)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%; padding-left: 0; text-indent: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Securities
    with an aggregate market value of $1,350,426 and cash of $6,141 have been pledged as collateral under the terms of master
    agreements as of September 30, 2019.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.5in; text-indent: -0.5in">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Includes accrued
    interest.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The average amount
    of borrowings outstanding during the period ended September 30, 2019 was $(1,079,292) at a weighted average interest rate
    of 2.807%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the
    period.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Open maturity reverse
    repurchase agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(n)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>FINANCIAL DERIVATIVE
    INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0; text-indent: 0.25in"></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SWAP
AGREEMENTS:</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CREDIT
DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION<SUP>(1)</SUP></FONT></P>



<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="14"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><U>Variation
    Margin</U></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Reference
    Entity</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Fixed
    </FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Receive Rate</FONT></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Payment</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Frequency</FONT></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Maturity</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Implied</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Credit Spread at</FONT><BR>
    <FONT STYLE="font-size: 8pt">September 30, <BR>
2019<SUP>(2)</SUP></FONT></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Notional</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Amount<SUP>(3)</SUP></FONT></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Premiums</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Paid/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Received)</FONT></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Unrealized</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Appreciation/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Depreciation)</FONT></FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Market</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Value<SUP>(4)</SUP></FONT></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 14%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Bombardier, Inc.</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000%</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Quarterly</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/20/2024</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.513</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">%</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,000</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">70</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">64</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 3 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-size: 10pt; width: 83%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
</td></tr>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>



<P STYLE="margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 14%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Bombardier, Inc.</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Quarterly</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/20/2024</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4.859</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">800</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Frontier Communications Corp.</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Quarterly</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/20/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">175.493</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(505)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,801)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,306)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(190)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Frontier Communications Corp.</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Quarterly</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/20/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">118.924</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,200</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(162)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(471)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(633)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(674)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,195)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,869)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(193)</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>INTEREST RATE SWAPS</B></FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>


<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><U>Variation
    Margin</U></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 8%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pay/</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Receive</FONT><BR>
    <FONT STYLE="font-size: 8pt">Floating Rate</FONT></FONT></TD>
    <TD STYLE="width: 12%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Floating
    Rate Index</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Fixed
    Rate</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Payment</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Frequency</FONT></FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Maturity</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Notional</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Amount</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Premiums</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Paid/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Received)</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Unrealized</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Appreciation/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Depreciation)</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; border-bottom: black 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Market</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Value</FONT></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; border-bottom: black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; border-bottom: black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pay</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1.750%</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/21/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">303,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,433</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,422)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,011</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(79)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pay</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/20/2027</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">91,250</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,072</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,303</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,375</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(26)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Pay</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/19/2029</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">210,500</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,144</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,843</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">28,987</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(56)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/15/2036</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">19,800</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,952)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(607)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,559)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(11)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.750</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/20/2043</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">34,100</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(114)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,910)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,024)</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(48)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.750</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/16/2045</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,800</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(52)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(830)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(882)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">06/20/2048</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">287</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(871)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(584)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/11/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">54,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(89)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,880)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6,969)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(73)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/12/2050</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">42,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(126)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,285)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(5,411)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(54)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/18/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;&nbsp;EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(24)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(62)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(86)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.150</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/18/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">20,400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">373</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(298)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">75</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">25</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/18/2050</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">139</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(156)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(17)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6-Month GBP-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.750</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/18/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">89,870</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">935</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,144)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,209)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(369)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Receive<SUP>(5)</SUP></FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6-Month GBP-LIBOR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.750</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">03/18/2050</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,800</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">320</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(579)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(259)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">42</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">18,346</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(898)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,448</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">102</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(723)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total Swap Agreements</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>17,672</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(8,093)</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>9,579</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>111</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(916)</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(o)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Securities
    with an aggregate market value of $5,655 and cash of $26,452 have been pledged as collateral for exchange-traded and centrally
    cleared financial derivative instruments as of September 30, 2019.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">If the Fund is
    a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will
    either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced
    obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash,
    securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced
    obligation or underlying securities comprising the referenced index.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Implied credit
    spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on&nbsp;&nbsp;issues
    as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or
    risk of default for the credit derivative.&nbsp;&nbsp;The implied credit spread of a particular referenced entity reflects
    the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement.&nbsp;&nbsp;Wider
    credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default
    or other credit event occurring as defined under the terms of the agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The maximum potential
    amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a
    credit event occurs as defined under the terms of that particular swap agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(4)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The prices and
    resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk
    and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of
    the swap agreement be closed/sold as of the period end.&nbsp;&nbsp;Increasing market values, in absolute terms when compared
    to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood
    or risk of default or other credit event occurring as defined under the terms of the agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(5)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">This instrument
    has a forward starting effective date.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(p)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>FINANCIAL DERIVATIVE
    INSTRUMENTS: OVER THE COUNTER</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">FORWARD
    FOREIGN CURRENCY CONTRACTS:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><U>Unrealized
    Appreciation/(Depreciation)</U></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 15%; padding-left: 0.1in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Counterparty</FONT></TD>
    <TD STYLE="width: 13%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Settlement</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Month</FONT></FONT></TD>
    <TD STYLE="width: 5%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Currency
    to</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">be Delivered</FONT></FONT></TD>
    <TD STYLE="width: 5%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Currency
    to</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">be Received</FONT></FONT></TD>
    <TD STYLE="width: 5%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset</FONT></TD>
    <TD STYLE="width: 5%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 13%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BOA</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,084</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,273</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,652</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,982</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(42)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">121,748</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98,807</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(259)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98,807</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">121,912</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">260</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BPS</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,906</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,355</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(69)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,073</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,679</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(34)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">PEN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,855</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,326</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRC</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">47,917</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">43,824</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(151)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,685</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MXN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">307,220</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(136)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">43,824</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">48,034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">149</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CBK</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,783</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,951</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">120,299</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">146,886</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">51</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,080)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MXN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">307,220</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,962</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">412</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,236</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,795</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(29)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,080</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RUB</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">269,510</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">53</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">01/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,689</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MXN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">307,220</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(389)</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 4 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-size: 10pt; width: 83%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
</td></tr>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; width: 15%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">DUB</FONT></TD>
    <TD STYLE="width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRL</FONT></TD>
    <TD STYLE="text-align: right; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,143</FONT></TD>
    <TD STYLE="text-align: right; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,957</FONT></TD>
    <TD STYLE="text-align: right; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; width: 5%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(3)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,955</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRL</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,143</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GLM</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,277</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,814</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,046</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">945</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(16)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,327</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">153,460</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(94)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">HUS</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">716</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">47,008</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">23</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17,127</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,016</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">109</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">JPM</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">556,366</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,658</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(96)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">MYI</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">30,092</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,881</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">82</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">31,386</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">34,419</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">125</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SCX</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRL</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,143</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,955</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(4)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">56,617</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62,831</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,122</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,968</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRL</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,142</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(8)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,003</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RUB</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">829,268</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(241)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">BRL</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,142</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,964</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">9</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SOG</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,453</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">RUB</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">436,560</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">212</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">UAG</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,702</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,042</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">334</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Total Forward Foreign Currency
    Contracts</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>2,990</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(2,654)</B></FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">SWAP
AGREEMENTS:</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">CREDIT
DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION<SUP>(1)</SUP></FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><U>Swap
    Agreements, at Value</U><SUP>(3)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 9%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Counterparty</FONT></TD>
    <TD STYLE="width: 20%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Index/Tranches</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Fixed
    </FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Receive Rate</FONT></FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Payment</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Frequency</FONT></FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Maturity</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Date</FONT></FONT></TD>
    <TD STYLE="width: 3%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Notional</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Amount<SUP>(2)</SUP></FONT></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Premiums</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Paid/(Received)</FONT></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Unrealized</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Appreciation/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Depreciation)</FONT></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">FBF</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">ABX.HE.AA.6-2 Index</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.170%</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;Monthly</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">05/25/2046</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">26,033</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(23,137)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">15,852</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,285)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="7"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Total Swap Agreements</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(23,137)</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>15,852</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>0</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(7,285)</B></FONT></TD></TR>
</TABLE>


<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>(q)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Securities
    with an aggregate market value of $8,611 have been pledged as collateral for financial derivative instruments as governed
    by International Swaps and Derivatives Association, Inc. master agreements as of September 30, 2019.</B></FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">If the Fund is
    a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will
    either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced
    obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash,
    securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced
    obligation or underlying securities comprising the referenced index.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The maximum potential
    amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a
    credit event occurs as defined under the terms of that particular swap agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The prices and
    resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk
    and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of
    the swap agreement be closed/sold as of the period end.&nbsp;&nbsp;Increasing market values, in absolute terms when compared
    to the notional amount of the swap, represent a deterioration of the referenced indices' credit soundness and a greater likelihood
    or risk of default or other credit event occurring as defined under the terms of the agreement.</FONT></TD></TR>
</TABLE>


<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">FAIR
VALUE MEASUREMENTS</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">The following is a summary of
the fair valuations according to the inputs used as of September 30, 2019 in valuing the Fund's assets and liabilities:</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 95%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Category
    and Subcategory</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Level
    1</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Level
    2</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Level
    3</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Fair
    Value</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">at 09/30/2019</FONT></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Investments in Securities, at
    Value</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">21,745</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">202,797</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">235,586</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Corporate Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 35%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 11%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 11%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">237,059</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 11%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,967</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 11%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">248,026</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">234,794</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">234,796</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">106,697</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">106,697</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Convertible Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,474</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">7,474</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">45</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">45</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Municipal Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Illinois</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,024</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Texas</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">101</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">101</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">West Virginia</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,259</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,259</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S. Government Agencies</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62,353</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">62,353</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">888,805</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">36,718</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">925,523</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">570,050</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33,390</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">603,440</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Sovereign Issues</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">67,498</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">67,498</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Common Stocks</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Communication Services</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,004</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">17</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,021</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Consumer Discretionary</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,976</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">14,976</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Energy</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,342</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,342</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">278</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,758</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6,036</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Warrants</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Communication Services</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,057</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">8,057</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Preferred Securities</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Banking &amp; Finance</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,114</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,114</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Real Estate Investment Trusts</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Real Estate</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,467</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">13,467</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Short-Term Instruments</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Repurchase Agreements</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,110</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">22,110</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Argentina Treasury Bills</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,536</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,536</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 5 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-size: 10pt; width: 83%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Consolidated
    Schedule of Investments&nbsp;&nbsp;PIMCO Dynamic Income Fund<SUP>&nbsp;&nbsp;</SUP>(Cont.)</FONT></TD>
    <TD STYLE="width: 17%">
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">September
        30, 2019</FONT></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"></P>
        <P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></P>
</td></tr>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 95%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 35%; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">U.S. Treasury Bills</FONT></TD>
    <TD STYLE="text-align: right; width: 3%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 11%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; width: 3%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 11%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,725</FONT></TD>
    <TD STYLE="text-align: right; width: 3%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 11%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; width: 3%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 11%; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">16,725</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55,470</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,457,515</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99,225</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,612,210</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total Investments</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55,470</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,457,515</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99,225</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,612,210</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Short Sales, at Value - Liabilities
    </B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Financial Derivative Instruments - Assets </B></FONT></TD>
    <TD COLSPAN="8">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Exchange-traded or centrally cleared</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">111</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">111</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Over the counter</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,990</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,990</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,101</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,101</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Financial Derivative Instruments
    - Liabilities </B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Exchange-traded or centrally cleared</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(916)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(916)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Over the counter</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,939)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(9,939)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,855)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(10,855)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total Financial Derivative Instruments</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,754)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(7,754)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Totals</FONT></TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">55,470</FONT></TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,449,761</FONT></TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99,225</FONT></TD>
    <TD STYLE="text-align: right; padding-bottom: 1pt; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,604,456</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>The following is a reconciliation
of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended September 30, 2019:</B></FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Category
    and <BR>
Subcategory</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Beginning</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
<FONT STYLE="font-size: 8pt">Balance at <BR>
06/30/2019</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Purchases</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Sales/<BR>
 Settlements</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Accrued</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Discounts/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Premiums)</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Realized</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Gain/(Loss)</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net
    Change in</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Unrealized</FONT><BR>
    <FONT STYLE="font-size: 8pt">Appreciation/</FONT><BR>
    <FONT STYLE="font-size: 8pt">(Depreciation)<SUP>(1)</SUP></FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Transfers
<BR>
into Level 3</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Transfers
<BR>
out of Level 3</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Ending</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
<FONT STYLE="font-size: 8pt">Balance at <BR>
09/30/2019</FONT></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Net
Change in</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Unrealized</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Appreciation/</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Depreciation)</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">on Investments</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Held at</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">09/30/2019<SUP>(1)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="22"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Investments in Securities, at
    Value</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">24,384</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,652</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(402)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">94</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(2,368)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(14,319)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">11,044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(172)</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Corporate
    Bonds &amp; Notes</FONT></TD>
    <TD COLSPAN="20"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 14%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,534</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 1%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 1%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 8%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">433</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,967</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">433</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4,250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">32,727</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(130)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(141)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">36,718</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(140)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">28,489</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(6)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(267)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,174</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33,390</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(267)</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Common
    Stocks</FONT></TD>
    <TD COLSPAN="20"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Energy</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">904</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">438</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,342</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">438</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Utilities</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,136</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">622</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,758</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">622</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Totals</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">73,704</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">36,379</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(532)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(1,284)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,174</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(14,319)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99,225</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">913</FONT></TD></TR>
</TABLE>

<P STYLE="margin: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>The
following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within
Level 3 of the fair value hierarchy:</B></FONT></P>




<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Category
    and Subcategory</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Ending</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">Balance</FONT><BR>
    <FONT STYLE="font-size: 8pt">at 09/30/2019</FONT></FONT></TD>
    <TD STYLE="padding-left: 0.2in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Valuation
    Technique</FONT></TD>
    <TD STYLE="padding-left: 0.1in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Unobservable
    Inputs</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Input
    Value(s)</FONT><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><BR>
    <FONT STYLE="font-size: 8pt">(% Unless Noted Otherwise)</FONT></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Investments in Securities, at Value</B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,572</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Discounted Cash Flow</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Yield</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">6.940</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">3,345</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Proxy Pricing</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Base Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">88.497 - 100.897</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2,127</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Third Party Vendor</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Broker Quote</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">98.250 - 101.000</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Corporate Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 18%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">10,967</FONT></TD>
    <TD STYLE="width: 23%; padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Reference
    Instrument</FONT></TD>
    <TD STYLE="width: 29%; padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Option
    Adjusted Spread</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 18%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">603.426
    bps</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Proxy Pricing</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Base Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">0.083</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">36,718</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Proxy Pricing</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Base Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.500 - 99.900</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">33,390</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Proxy Pricing</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Base Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">2.313 - 100,539.278</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Common Stocks</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Energy</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">36</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Other Valuation Techniques<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">-</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">-</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">1,306</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Reference Instrument</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Liquidity Discount</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">27.000</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">4</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Other Valuation Techniques<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">-</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">-</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">5,758</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Indicative Market
    Quotation</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Broker Quote</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">44.000</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Total</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">99,225</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%; font-size: 10pt; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%; font-size: 10pt; padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Any
    difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation)
    on Investments Held at September 30, 2019 may be due to an investment no longer held or categorized as Level 3 at period end.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Includes
    valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered
    significant to the Fund.</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<!-- Field: Page; Sequence: 6 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Notes to Financial Statements</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 9pt">1.
BASIS FOR CONSOLIDATION</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">PDILS
I LLC, (the &ldquo;Subsidiary&rdquo;), a Delaware limited liability company was formed as a wholly owned subsidiary acting as
an investment vehicle for the PIMCO Dynamic Income Fund (the &ldquo;Fund&rdquo;) in order to effect certain investments for the
Fund consistent with the Fund&rsquo;s investment objectives and policies in effect from time to time. The Subsidiary was formed
on March 12, 2013. PIMCO Dynamic Income Fund&rsquo;s investment portfolio has been consolidated and includes the portfolio holdings
of the PIMCO Dynamic Income Fund and the Subsidiary. Accordingly, the consolidated financial statements include the accounts of
the Fund and the Subsidiary. All inter-company transactions and balances have been eliminated. This structure was established
so that certain loans could be held by a separate legal entity from the Fund. The net assets of the Subsidiary as of period end
represented 0.4% of the Fund&rsquo;s consolidated net assets.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 9pt">2.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"><B>(a)
Investment Valuation Policies </B> The net asset value (&ldquo;NAV&rdquo;) of the Fund's shares is determined by dividing the
total value of portfolio investments and other assets attributable to the Fund less any liabilities by the total number of shares
outstanding of the Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">On
each day that the New York Stock Exchange (&ldquo;NYSE&rdquo;) is open, Fund shares are ordinarily valued as of the close of regular
trading (normally 4:00 p.m., Eastern time) (&ldquo;NYSE Close&rdquo;). Information that becomes known to the Fund or its agents
after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the
price of a security or the NAV determined earlier that day. The Fund reserves the right to change the time as of which its NAV
is calculated if the Fund closes earlier, or as permitted by the U.S. Securities and Exchange Commission (&ldquo;SEC&rdquo;).</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">For
purposes of calculating a NAV, portfolio securities and other assets for which market quotes are readily available are valued
at market value. Market value is generally determined on the basis of official closing prices or the last reported sales prices,
or if no sales are reported, based on quotes obtained from established market makers or prices (including evaluated prices) supplied
by the Fund's approved pricing services, quotation reporting systems and other third-party sources (together, &ldquo;Pricing Services&rdquo;).
The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and does not normally
take into account trading, clearances or settlements that take place after the NYSE Close. If market value pricing is used, a
foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing
information from the exchange considered by Pacific Investment Management Company LLC (&ldquo;PIMCO&rdquo; or the &ldquo;Manager&rdquo;)
to be the primary exchange. A foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange,
or the NYSE Close, if the NYSE Close occurs before the end of trading on the foreign exchange. Domestic and foreign (non-U.S.)
fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained
from brokers and dealers or Pricing Services using data reflecting the earlier closing of the principal markets for those securities.
Prices obtained from Pricing Services may be based on, among other things, information provided by market makers or estimates
of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income
securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded
options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange.
Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing
Services. The Fund's investments in open-end management investment companies, other than exchange-traded funds (&quot;ETFs&quot;),
are valued at the NAVs of such investments.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">If
a foreign (non-U.S.) equity security&rsquo;s value has materially changed after the close of the security&rsquo;s primary exchange
or principal market but before the NYSE Close, the security may be valued at fair value based on procedures established and approved
by the Board of Trustees of the Trust (the &ldquo;Board&rdquo;). Foreign (non-U.S.) equity securities that do not trade when the
NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair
value of investments based on information provided by Pricing Services and other third-party vendors, which may recommend fair
value or adjustments with reference to other securities, indices or assets. In considering whether fair valuation is required
and in determining fair values, the Fund may, among other things, consider significant events (which may be considered to include
changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and before the
NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of non-U.S. securities.
For these purposes, any movement in the applicable reference index or instrument (&ldquo;zero trigger&rdquo;) relating to the
non U.S security being fair valued between the earlier close of the applicable foreign market and the NYSE Close may be deemed
to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign
exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may
result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Senior
secured floating rate loans for which an active secondary market exists to a reliable degree are valued at the mean of the last
available bid/ask prices in the market for such loans, as provided by a Pricing Service. Senior secured floating rate loans for
which an active secondary market does not exist to a reliable degree are valued at fair value, which is intended to approximate
market value. In valuing a senior secured floating rate loan at fair value, the factors considered may include, but are not limited
to, the following: (a) the creditworthiness of the borrower and any intermediate participants, (b) the terms of the loan, (c)
recent prices in the market for similar loans, if any, and (d) recent prices in the market for instruments of similar quality,
rate, period until next interest rate reset and maturity.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Investments
valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Services.
As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value
of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated
in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result,
to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders
are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Investments
for which market quotes or market based valuations are not readily available are valued at fair value as determined in good faith
by the Board or persons acting at their direction. The Board has adopted methods for valuing securities and other assets in circumstances
where market quotes are not readily available, and has delegated to PIMCO the responsibility for applying the fair valuation methods.
In the event that market quotes or market based valuations are not readily available, and the security or asset cannot be valued
pursuant to a Board approved valuation method, the value of the security or asset will be determined in good faith by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based
data (e.g., trade information, bid/ask information, indicative market quotations (&ldquo;Broker Quotes&rdquo;), Pricing Services&rsquo;
prices), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect
the values of the Fund's securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary
circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other
market prices are available. The Board has delegated, to the Manager, the responsibility for monitoring significant events that
may materially affect the values of the Fund's securities or assets and for determining whether the value of the applicable securities
or assets should be reevaluated in light of such significant events.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">When
the Fund uses fair valuation to determine the value of a portfolio security or other asset for purposes of calculating its NAV,
such investments will not be priced on the basis of quotes from the primary market in which they are traded, but rather may be
priced by another method that the Board or persons acting at their direction believe reflects fair value.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<!-- Field: Page; Sequence: 7 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 14pt">Notes
to Financial Statements</FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Cont.)</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Fair
valuation may require subjective determinations about the value of a security. While the Fund&rsquo;s policy is intended to result
in a calculation of the Fund&rsquo;s NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure
that fair values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund
could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed
sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"><B>(b)
Fair Value Hierarchy </B>U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer
a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy
that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category
of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used
for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1,
2, and 3 of the fair value hierarchy are defined as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&bull;
Level 1 &mdash; Quoted prices in active markets or exchanges for identical assets and liabilities.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&bull;
Level 2 &mdash; Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets
or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not
active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves,
volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&bull;
Level 3 &mdash; Significant unobservable inputs based on the best information available in the circumstances, to the extent observable
inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in
determining the fair value of investments.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt; background-color: white">Assets
or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period
due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change,
in the normal course of business, from the use of methods used by Pricing Services (Level 2) to the use of a Broker Quote or valuation
technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3).
Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by pricing
services or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S.
GAAP, the amounts of transfers</FONT> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">into and out of Level
3, if material, are disclosed in the Notes <FONT STYLE="background-color: white">to Consolidated Schedule of Investments </FONT>for
the Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">For
fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances
for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases
and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period
value is used for the transfers between Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative
information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized
as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material,
a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments
for the Fund.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"><B>(c)
Valuation Techniques and the Fair Value Hierarchy</B></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"><B>Level
1 and Level 2 trading assets and trading liabilities, at fair value </B>The valuation methods (or &ldquo;techniques&rdquo;) and
significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as
Level 1 and Level 2 of the fair value hierarchy are as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Fixed
income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations,
sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained
from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their
internal pricing models. The Pricing Services' internal models use inputs that are observable such as issuer details, interest
rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that
use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Fixed
income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked
to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Mortgage-related
and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities
are also normally valued by Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their
internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data,
estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available.
Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized
as Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Common
stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options
on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the
day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized
as Level 1 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Valuation
adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement
between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the
correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities
using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities
traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Equity
exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and
options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination
of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established
market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction,
financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing
models. The pricing models use inputs that are observed</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

<!-- Field: Page; Sequence: 8 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin-top: 0pt; margin-bottom: 0pt; text-align: right"><FONT STYLE="font-size: 8pt; color: rgb(54,85,133)">September
30, 2019 (Unaudited)</FONT></P>


<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">from
actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities,
yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs
as described above are categorized as Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Centrally
cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other
inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided
by Pricing Services (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued
by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may use inputs that
are observed from actively quoted markets such as the overnight index swap rate (&ldquo;OIS&rdquo;), London Interbank Offered
Rate (&ldquo;LIBOR&rdquo;) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as
Level 2 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"><B>Level
3 trading assets and trading liabilities, at fair value </B>When a fair valuation method is applied by PIMCO that uses significant
unobservable inputs, investments will be priced by a method that the Board or persons acting at their direction believe reflects
fair value and are categorized as Level 3 of the fair value hierarchy. The valuation techniques and significant inputs used in
determining the fair values of portfolio assets and liabilities categorized as Level 3 of the fair value hierarchy are as follows:</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Proxy
pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value
changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on
country of issuance. The base price may be a broker-dealer quote, transaction price, or an internal value as derived by analysis
of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures
approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the
base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized
as Level 3 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">If
third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain
Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based
upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are
typically received from established market participants. Although independently received, the Manager does not have the transparency
to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and
proportional changes in the fair value of the security.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Discounted
cash flow valuation uses an internal analysis based on the Adviser&rsquo;s expectation of future income and expenses, capital
structure, exit multiples of a security, and other unobservable inputs which may include contractual and factual loan factors,
estimated future payments and credit rating. Significant changes in the unobservable inputs of the models would result in direct
and proportional changes in the fair value of the security.&nbsp;These securities are categorized as Level 3 of the fair value
hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"></FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Fundamental
analysis valuation estimates fair value by using an internal model that utilizes financial statements of the non-public underlying
company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the
security. These securities are categorized as Level 3 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Reference
instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities,
market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include
those used in algorithms based on percentage change in the reference instruments and/or weights of each reference instrument.
Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security.
These securities are categorized as Level 3 of the fair value hierarchy.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">Short-term
debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so
long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument
as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair
value hierarchy depending on the source of the base price.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 9pt">3.
FEDERAL INCOME TAX MATTERS</FONT></P>

<P STYLE="font: bold 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">The
Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the &ldquo;Code&rdquo;)
and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for
Federal income taxes has been made.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">The
Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital
gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">In
accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of September 30, 2019,
the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or
expects to take in future tax returns.</FONT></P>

<P STYLE="font: 10pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">The Fund files U.S. federal,
state, and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until
expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which
can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions
that require a provision for income taxes.</FONT></P>

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<!-- Field: Page; Sequence: 9 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
    <!-- Field: /Page -->

<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; width: 70%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt"><B>Glossary:
    (abbreviations that may be used in the preceding statements)</B></FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 28%; text-align: right; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">(Unaudited)</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="margin: 0pt 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 10pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>Counterparty
    Abbreviations:</B></FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; width: 10%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BCY</B></FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 20%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Barclays Capital,
    Inc.</FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; width: 10%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>FICC</B></FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 20%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Fixed Income
    Clearing Corporation </FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; width: 10%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>NOM</B></FONT></TD>
    <TD STYLE="white-space: nowrap; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 20%; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Nomura Securities
    International Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BNY</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Bank
    of New York Mellon</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>FOB</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Credit Suisse Securities
    (USA) LLC</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>RBC</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Royal Bank of Canada</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BOA</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Bank of America N.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>GLM</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Goldman Sachs Bank USA</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>RCY</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Royal Bank of Canada</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BOS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Merrill Lynch, Pierce,
    Fenner &amp; Smith, Inc.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>HUS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">HSBC Bank USA N.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>RDR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">RBC Capital Markets LLC</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BPS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">BNP Paribas S.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>IND</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Cr&eacute;dit Agricole
    Corporate and Investment Bank S.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>RTA</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">RBC (Barbados) Trading
    Bank Corp.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BRC</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Barclays Bank PLC</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>JML</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">JP Morgan Securities Plc</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>SBI</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Citigroup Global Markets
    Ltd.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>CBK</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Citibank N.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>JPM</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">JP Morgan Chase Bank N.A.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>SCX</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Standard Chartered Bank</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>CFR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Credit Suisse Securities
    (Europe) Ltd.</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>MBC</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">HSBC Bank Plc</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>SOG</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Societe Generale Paris</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>DBL</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Deutsche Bank AG London</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>MEI</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Merrill Lynch International</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>TDM</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">TD Securities (USA) LLC</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>DUB</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Deutsche Bank AG</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>MSB</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Morgan Stanley Bank, N.A</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>UAG</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">UBS AG Stamford</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>FBF</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Credit Suisse International</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>MYI</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Morgan Stanley &amp; Co.
    International PLC</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>UBS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">UBS Securities LLC</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>Currency
    Abbreviations:</B></FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ARS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Argentine Peso</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>GBP</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">British Pound</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>RUB</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Russian Ruble</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BRL</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Brazilian Real</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>MXN</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Mexican Peso</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>USD
    (or $)</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">United States Dollar</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>EUR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Euro</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>PEN</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Peruvian New Sol</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>Index/Spread
    Abbreviations:</B></FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ABX.HE</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Asset-Backed Securities
    Index - Home Equity</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BADLARPP</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Argentina Badlar Floating
    Rate Notes</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>LIBOR03M</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">3 Month USD-LIBOR</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ARLLMONP</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Argentina Blended Policy
    Rate</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BP0003M</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">3 Month GBP-LIBOR</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>US0003M</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">3 Month USD Swap Rate</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>Other&nbsp;&nbsp;Abbreviations:</B></FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ABS</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Asset-Backed Security</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>CDO</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Collateralized Debt Obligation</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>REMIC</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Real
    Estate Mortgage Investment Conduit</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ADR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">American Depositary Receipt</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>CLO</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Collateralized Loan Obligation</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>SP
    - ADR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Sponsored American Depositary
    Receipt</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>ALT</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Alternate Loan Trust</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>EURIBOR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Euro Interbank Offered
    Rate</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>TBA</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">To-Be-Announced</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>BABs</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Build America Bonds</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>LIBOR</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">London Interbank Offered
    Rate</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>TBD</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">To-Be-Determined</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>CBO</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Collateralized Bond Obligation</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>PIK</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Payment-in-Kind</FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="white-space: nowrap; font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt"><B>TBD%</B></FONT></TD>
    <TD STYLE="white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">&nbsp;</FONT></TD>
    <TD STYLE="font-size: 10pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 7pt">Interest rate to be determined
    when loan settles or at the time of funding</FONT></TD></TR>
</TABLE>


<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt Times New Roman, Times, Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">Information
Classification: Limited Access</FONT></P>
<P STYLE="margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">&nbsp;</FONT></P>

<!-- Field: Page; Sequence: 10 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-bottom: Black 1pt solid"><P STYLE="margin-top: 0pt; text-align: center; margin-bottom: 0pt; font: 10pt Arial, Helvetica, Sans-Serif"></P></DIV>
    <!-- Field: /Page -->


</BODY>
</HTML>
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
