<SEC-DOCUMENT>0000916183-19-000058.txt : 20191126
<SEC-HEADER>0000916183-19-000058.hdr.sgml : 20191126
<ACCEPTANCE-DATETIME>20191126111231
ACCESSION NUMBER:		0000916183-19-000058
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 STRATEGIC INCOME FUND, INC
		CENTRAL INDEX KEY:			0000916183
		IRS NUMBER:				943194834
		STATE OF INCORPORATION:			MD
		FISCAL YEAR END:			0630

	FILING VALUES:
		FORM TYPE:		NPORT-P
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-08216
		FILM NUMBER:		191248272

	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

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	PIMCO STRATEGIC GLOBAL GOVERNMENT FUND INC
		DATE OF NAME CHANGE:	20041005

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	RCM STRATEGIC GLOBAL GOVERNMENT FUND INC
		DATE OF NAME CHANGE:	19931214
</SEC-HEADER>
<DOCUMENT>
<TYPE>NPORT-P
<SEQUENCE>1
<FILENAME>primary_doc.xml
<TEXT>
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            <terminationDt>2044-06-20</terminationDt>
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            <pmntCurCd>CAD</pmntCurCd>
            <upfrontRcpt>-534135.050000</upfrontRcpt>
            <rcptCurCd>CAD</rcptCurCd>
            <notionalAmt>3800000.000000</notionalAmt>
            <curCd>CAD</curCd>
            <unrealizedAppr>-417592.940000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.00000 08/19/19-2Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1LM4VY7V72"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
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        <valUSD>-2600019.870000</valUSD>
        <pctVal>0.8792795</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="SWU00SQG3-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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              </rtResetTenors>
            </floatingRecDesc>
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            <terminationDt>2021-08-19</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-405873.030000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>257400000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-2194146.840000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.26000 09/06/19-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZBGTKDLB5K9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>-1303451.880000</valUSD>
        <pctVal>0.4408038</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="SWU00SYU3-Euribor 6 Month ACT/360"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.260000"/>
            <terminationDt>2024-09-06</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
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            <rcptCurCd>EUR</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-1309090.720000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.65000 02/26/19-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ2MM7RKYN73"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
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        <pctVal>5.1726790</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="SWU00SUE3-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.650000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingPmntDesc>
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            <curCd>EUR</curCd>
            <unrealizedAppr>16065977.180000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 1.25000 08/19/19-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ96LYRGGB45"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
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        <pctVal>3.9713148</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="SWU00SQI9-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">
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.250000"/>
            <terminationDt>2049-08-19</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
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            <rcptCurCd>EUR</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-12482394.670000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS 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"/>
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        <pctVal>0.0068260</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">
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.750000"/>
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            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-35785.790000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS 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>-160965.440000</valUSD>
        <pctVal>0.0544356</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>
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              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingRecDesc>
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            <terminationDt>2050-03-18</terminationDt>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-345308.090000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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>34137000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
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        <pctVal>0.1105490</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>141835000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="62.960000"/>
        <valUSD>1109584.040000</valUSD>
        <pctVal>0.3752412</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>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.50000 12/18/19-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ81ZNLGS404"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-44202.900000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>-106476.000000</upfrontRcpt>
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            <unrealizedAppr>62273.100000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.50000 12/18/19-2Y CME</title>
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        <identifiers>
          <isin value="EZ5M8XH022F2"/>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>29142.500000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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              <indexBasketInfo>
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              </indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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            </floatingRecDesc>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>N/A</name>
        <lei>N/A</lei>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317583I38 OTC EPUT FN 2.5  10 OCT19 69 PUT</title>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.500000</valUSD>
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        <assetCat>DIR</assetCat>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1952.630000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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        <curCd>USD</curCd>
        <valUSD>2382750.000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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        <name>ATHENE HOLDING LTD</name>
        <lei>549300H316CT32FQXI76</lei>
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        <curCd>USD</curCd>
        <valUSD>13380.480000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>AVANTOR FUNDING INC</name>
        <lei>N/A</lei>
        <title>AVANTOR INC TERM LOAN</title>
        <cusip>05350NAC8</cusip>
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          <isin value="US05350NAC83"/>
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        <balance>18984.010000</balance>
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        <valUSD>19138.260000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5</title>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15143.100000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <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"/>
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        <balance>78000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80909.400000</valUSD>
        <pctVal>0.0273621</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>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AVOLON HOLDINGS FUNDING LIMITED</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
        <title>AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 01/23 5.5</title>
        <cusip>05401AAA9</cusip>
        <identifiers>
          <isin value="US05401AAA97"/>
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        <balance>80000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85560.800000</valUSD>
        <pctVal>0.0289351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>16000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16620.000000</valUSD>
        <pctVal>0.0056206</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"/>
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        <balance>20000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21320.910000</valUSD>
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      <invstOrSec>
        <name>AXA EQUITABLE HOLDINGS INC</name>
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        <curCd>USD</curCd>
        <valUSD>35648.610000</valUSD>
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        <assetCat>DBT</assetCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BAFFINLAND IRON MINES CORP / BAFFINLAND IRON MINES LP</name>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>720335.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>BANCO DE CREDITO DEL PERU</name>
        <lei>549300EQYQ8SCQZ4BY14</lei>
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        <cusip>05971U2B2</cusip>
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        <currencyConditional curCd="PEN" exchangeRt="3.370300"/>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>BANCORP COMMERCIAL MORTGAGE TRUST 2016-CRE1</name>
        <lei>N/A</lei>
        <title>THE BANKCORP COMMERCIAL M 11/33 VAR 1</title>
        <cusip>05971LAJ6</cusip>
        <identifiers>
          <isin value="US05971LAJ61"/>
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        <balance>4484932.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4484583.110000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.46819</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2</name>
        <lei>N/A</lei>
        <title>THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 D 144A</title>
        <cusip>05972AAJ9</cusip>
        <identifiers>
          <isin value="US05972AAJ97"/>
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        <balance>3300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3341719.590000</valUSD>
        <pctVal>1.1301089</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7775</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANK OF AMERICA MTGE SECURITIES 2005-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 A 2A1</title>
        <cusip>05949AH86</cusip>
        <identifiers>
          <isin value="US05949AH867"/>
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        <balance>13244.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13467.570000</valUSD>
        <pctVal>0.0045545</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>4.46887</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANK OF 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"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>226940.300000</valUSD>
        <pctVal>0.0767471</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>882572.000000</valUSD>
        <pctVal>0.2984698</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266053.750000</valUSD>
        <pctVal>0.0899745</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>
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          <currencyInfos>
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          <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>1296406.270000</valUSD>
        <pctVal>0.4384211</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>
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          <currencyInfos>
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          <delta>XXXX</delta>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS VAR</title>
        <cusip>931ZUKII2</cusip>
        <identifiers>
          <isin value="XS1658012023"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA VAR</title>
        <cusip>ACI1CH093</cusip>
        <identifiers>
          <isin value="XS1998799792"/>
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        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <pctVal>0.6621486</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>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>Barclays PLC</name>
              <title>Barclays PLC</title>
              <curCd>GBP</curCd>
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          <currencyInfos>
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          <delta>XXXX</delta>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <pctVal>0.0421788</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>291816.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>735376.320000</valUSD>
        <pctVal>0.2486909</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>BCAP LLC TRUST 2010-RR1</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2010 RR1 11A6 144A</title>
        <cusip>05532TES7</cusip>
        <identifiers>
          <isin value="US05532TES78"/>
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        <balance>192745.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190878.090000</valUSD>
        <pctVal>0.0645515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.70567</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isin value="US138616AA51"/>
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        <curCd>USD</curCd>
        <valUSD>931854.660000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
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          <isin value="US12505JAD54"/>
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        <curCd>USD</curCd>
        <valUSD>198100.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
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          <isin value="US12505JAB98"/>
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        <balance>477000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>317205.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CBL &amp; ASSOCIATES LIMITED PARTNERSHIP</name>
        <lei>549300VS75TWHD9JTH89</lei>
        <title>CBL + ASSOCIATES LP LIMITD GUARA 12/23 5.25</title>
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          <isin value="US12505JAA16"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57367.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CHENIERE ENERGY PARTNERS LP</name>
        <lei>5493005UEC8AZ34LDV29</lei>
        <title>CHENIERE ENERGY PARTNERS SR UNSECURED 144A 10/29 4.5</title>
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          <isin value="US16411QAE17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <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>
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          <isin value="US126694U970"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <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>
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          <isin value="US12543DAY67"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
        <lei>5493007X5NC5XI1BB106</lei>
        <title>CHS/COMMUNITY HEALTH SYS SR SECURED 144A 01/24 8.625</title>
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          <isin value="US12543DBB55"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CHS/COMMUNITY HEALTH SYSTEMS INC</name>
        <lei>5493007X5NC5XI1BB106</lei>
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          <isin value="US12543DBC39"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>294000.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MTGE TRUST 2007-C6</name>
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        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2007 C6 AJ</title>
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          <isin value="US17311QBN97"/>
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        <curCd>USD</curCd>
        <valUSD>839411.460000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>CITIGROUP COMMERCIAL MTGE TRUST 2007-C6</name>
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          <isin value="US17311QAE08"/>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>5.77607</annualizedRt>
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      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2003-UP3</name>
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        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2003 UP3 A3</title>
        <cusip>17307GAV0</cusip>
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          <isin value="US17307GAV05"/>
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        <balance>1681.360000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
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        <name>CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3</name>
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          <isin value="US17312EAA47"/>
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        <curCd>USD</curCd>
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        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27838</annualizedRt>
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        <securityLending>
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        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
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        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A</title>
        <cusip>17311BAS2</cusip>
        <identifiers>
          <isin value="US17311BAS25"/>
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        <balance>4544958.320000</balance>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.17838</annualizedRt>
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        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
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        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C</title>
        <cusip>17311BAC7</cusip>
        <identifiers>
          <isin value="US17311BAC72"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.23838</annualizedRt>
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      </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>
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          <isin value="US12513YAJ91"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.398</annualizedRt>
          <isDefault>Y</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CITY OF BUENOS AIRES</name>
        <lei>5299007MC8RF52X0ON96</lei>
        <title>CITY OF BUENOS AIRES UNSECURED 03/24 VAR</title>
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        <balance>46535000.000000</balance>
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        <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>
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      <invstOrSec>
        <name>EDISON INTERNATIONAL</name>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>EI GROUP PLC</name>
        <lei>2138004TQBE43SK9FT76</lei>
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        <cusip>060026II4</cusip>
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          <isin value="XS0110730347"/>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ELDORADO RESORTS INC</name>
        <lei>5299000BKFWWVND5L441</lei>
        <title>ELDORADO RESORTS INC COMPANY GUAR 09/26 6</title>
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          <isin value="US28470RAG74"/>
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        <balance>1100000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>EMERALD BAY SA</name>
        <lei>2221008SU8XG8LZVS860</lei>
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        <cusip>ACI0YB9V6</cusip>
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          <isin value="XS1685617760"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
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        <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>
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      <invstOrSec>
        <name>ENCORE CREDIT RECEIVABLES TR 2005-1</name>
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        <title>ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3</title>
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        <securityLending>
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      <invstOrSec>
        <name>ENSCO JERSEY FINANCE LIMITED</name>
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        <title>ENSCO JERSEY FINANCE LTD COMPANY GUAR 01/24 3</title>
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          <isin value="US29359WAB19"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isContngtConvrtbl>N</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>Ensco Plc</title>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>5099654.520000</balance>
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        <curCd>USD</curCd>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <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"/>
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        <balance>1059000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>651285.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.75</annualizedRt>
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      <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"/>
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        <balance>60000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60300.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <debtSec>
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      <invstOrSec>
        <name>EUROSAIL PLC 2007-6NCX</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 6NCX B1A REGS</title>
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        <balance>1642193.280000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-13</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>EUROSAIL PLC 2007-6NCX</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 6NCX C1A REGS</title>
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        <identifiers>
          <isin value="XS0332287084"/>
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        <balance>1172995.200000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-13</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>EUROSAIL PLC 2007-6NCX</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 6NCX D1A REGS</title>
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          <isin value="XS0332287597"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2045-09-13</maturityDt>
          <couponKind>Floating</couponKind>
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      <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>
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          <isin value="US30162RAA95"/>
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        <balance>65000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36562.500000</valUSD>
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        <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>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FAIRSTONE FINANCIAL INC</name>
        <lei>549300CWWT866A22GS52</lei>
        <title>FAIRSTONE FINANCIAL INC SR UNSECURED 144A 07/24 7.875</title>
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        <identifiers>
          <isin value="US30575FAA66"/>
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        <curCd>USD</curCd>
        <valUSD>146650.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE 1993-21</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 21 KA</title>
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          <isin value="US31358T4H94"/>
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        <balance>7898.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8379.450000</valUSD>
        <pctVal>0.0028338</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 1997-33</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 33 PA</title>
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          <isin value="US31359PQJ83"/>
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        <balance>225124.720000</balance>
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        <curCd>USD</curCd>
        <valUSD>256058.360000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1997-79</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 79 PL</title>
        <cusip>31359RAQ5</cusip>
        <identifiers>
          <isin value="US31359RAQ56"/>
        </identifiers>
        <balance>9399.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10532.740000</valUSD>
        <pctVal>0.0035620</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-18</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>FANNIE MAE 2001-46</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 46 ZL</title>
        <cusip>313920XQ8</cusip>
        <identifiers>
          <isin value="US313920XQ80"/>
        </identifiers>
        <balance>178719.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200001.830000</valUSD>
        <pctVal>0.0676370</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-25</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>FANNIE MAE 2001-49</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 49 Z</title>
        <cusip>313921AG3</cusip>
        <identifiers>
          <isin value="US313921AG39"/>
        </identifiers>
        <balance>134440.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153071.270000</valUSD>
        <pctVal>0.0517659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2001-50</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 50 BA</title>
        <cusip>31392AJW9</cusip>
        <identifiers>
          <isin value="US31392AJW99"/>
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        <balance>37140.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42036.800000</valUSD>
        <pctVal>0.0142161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-25</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>FANNIE MAE 2001-60</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 60 ZM</title>
        <cusip>3139213J5</cusip>
        <identifiers>
          <isin value="US3139213J52"/>
        </identifiers>
        <balance>28402.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32770.650000</valUSD>
        <pctVal>0.0110824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-25</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>FANNIE MAE 2001-79</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 79 BA</title>
        <cusip>31392BMM5</cusip>
        <identifiers>
          <isin value="US31392BMM53"/>
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        <balance>643853.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>736260.160000</valUSD>
        <pctVal>0.2489898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-25</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>FANNIE MAE 2002-70</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 70 QZ</title>
        <cusip>31392FCA3</cusip>
        <identifiers>
          <isin value="US31392FCA30"/>
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        <balance>3382188.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3743932.310000</valUSD>
        <pctVal>1.2661299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</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>FANNIE MAE 2002-93</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 93 A1</title>
        <cusip>31392GRW7</cusip>
        <identifiers>
          <isin value="US31392GRW77"/>
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        <balance>347909.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>405108.420000</valUSD>
        <pctVal>0.1370003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2003-47</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 47 PE</title>
        <cusip>31393CRH8</cusip>
        <identifiers>
          <isin value="US31393CRH87"/>
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        <balance>21563.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24305.540000</valUSD>
        <pctVal>0.0082197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2003-71</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 71 TA</title>
        <cusip>31393EJT7</cusip>
        <identifiers>
          <isin value="US31393EJT73"/>
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        <balance>60101.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70670.960000</valUSD>
        <pctVal>0.0238996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2004-53</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 53 NC</title>
        <cusip>31394ABD7</cusip>
        <identifiers>
          <isin value="US31394ABD72"/>
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        <balance>8483.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8877.410000</valUSD>
        <pctVal>0.0030022</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2004-81</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 81 ZH</title>
        <cusip>31394BCG7</cusip>
        <identifiers>
          <isin value="US31394BCG77"/>
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        <balance>335366.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>338646.410000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2004-92</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 92 BW</title>
        <cusip>31394BRK2</cusip>
        <identifiers>
          <isin value="US31394BRK25"/>
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        <balance>887150.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>965940.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2005-22</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 22 DB</title>
        <cusip>31394DBP4</cusip>
        <identifiers>
          <isin value="US31394DBP42"/>
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        <balance>1370000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1563776.090000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2005-7</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 7 ZY</title>
        <cusip>31394B5P5</cusip>
        <identifiers>
          <isin value="US31394B5P54"/>
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        <balance>260851.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286049.080000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2008-67</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2008 67 ZW</title>
        <cusip>31397MCX3</cusip>
        <identifiers>
          <isin value="US31397MCX39"/>
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        <balance>161928.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>180234.390000</valUSD>
        <pctVal>0.0609520</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-25</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>FANNIE MAE 2010-76</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 76 ZC</title>
        <cusip>31398TFU0</cusip>
        <identifiers>
          <isin value="US31398TFU07"/>
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        <balance>1043529.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1131895.160000</valUSD>
        <pctVal>0.3827864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-25</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>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"/>
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        <balance>660000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>778953.380000</valUSD>
        <pctVal>0.2634279</pctVal>
        <payoffProfile>Long</payoffProfile>
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      <invstOrSec>
        <name>FANNIE MAE-1993-105</name>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1996-46</name>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1997-35</name>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-18</name>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T16</name>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T19</name>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T19</name>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T4</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2004-T2</name>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2001-W3</name>
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          <isin value="US3139216F04"/>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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        <debtSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W18</name>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W3</name>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W6</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2003 W6 3A</title>
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          <isin value="US31393BU941"/>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2004-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2004 W2 2A2</title>
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        <debtSec>
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      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2004-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2004 W2 5A</title>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2004-W8</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2004 W8 2A</title>
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          <isin value="US31394ALL88"/>
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        <curCd>USD</curCd>
        <valUSD>278190.180000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THROUGH SEC T-41</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 41 3A</title>
        <cusip>31392MEN8</cusip>
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        <name>FHLMC STRUCTURED PASS THROUGH SEC T-51</name>
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        <name>FHLMC STRUCTURED PASS THRU SEC T-59</name>
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        <name>FHLMC STRUCTURED PASS THRU SEC T-59</name>
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        <name>FHLMC STRUCTURED PASS THRU SEC T-60</name>
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          <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"/>
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        <balance>766000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>734402.500000</valUSD>
        <pctVal>0.2483616</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>
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        <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"/>
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        <balance>844000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808130.000000</valUSD>
        <pctVal>0.2732949</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>FLAGSHIP CREDIT AUTO TRUST 2018-3</name>
        <lei>N/A</lei>
        <title>FLAGSHIP CREDIT AUTO TRUST FCAT 2018 3 R 144A</title>
        <cusip>33844P105</cusip>
        <identifiers>
          <isin value="US33844P1057"/>
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        <balance>12000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1912679.940000</valUSD>
        <pctVal>0.6468336</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>13000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13080.930000</valUSD>
        <pctVal>0.0044237</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"/>
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        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65222.010000</valUSD>
        <pctVal>0.0220569</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"/>
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        <balance>26000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25519.000000</valUSD>
        <pctVal>0.0086301</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 190328 FN 12/32 FIXED VAR</title>
        <cusip>31368HLH4</cusip>
        <identifiers>
          <isin value="US31368HLH48"/>
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        <balance>177838.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204763.240000</valUSD>
        <pctVal>0.0692472</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 193901 FN 12/22 FIXED 8</title>
        <cusip>31368MKN1</cusip>
        <identifiers>
          <isin value="US31368MKN10"/>
        </identifiers>
        <balance>1472.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1482.890000</valUSD>
        <pctVal>0.0005015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 252526 FN 04/29 FIXED 7</title>
        <cusip>31371HPK8</cusip>
        <identifiers>
          <isin value="US31371HPK85"/>
        </identifiers>
        <balance>31890.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32155.580000</valUSD>
        <pctVal>0.0108744</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 253184 FN 04/30 FIXED 8</title>
        <cusip>31371JFZ2</cusip>
        <identifiers>
          <isin value="US31371JFZ21"/>
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        <balance>3004.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3592.990000</valUSD>
        <pctVal>0.0012151</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 253398 FN 08/30 FIXED 8</title>
        <cusip>31371JNP5</cusip>
        <identifiers>
          <isin value="US31371JNP56"/>
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        <balance>4572.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5263.140000</valUSD>
        <pctVal>0.0017799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 253585 FN 01/31 FIXED 8</title>
        <cusip>31371JUJ1</cusip>
        <identifiers>
          <isin value="US31371JUJ14"/>
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        <balance>3324.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4027.190000</valUSD>
        <pctVal>0.0013619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 253862 FN 04/31 FIXED 6.5</title>
        <cusip>31371J5X8</cusip>
        <identifiers>
          <isin value="US31371J5X89"/>
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        <balance>43593.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46607.530000</valUSD>
        <pctVal>0.0157618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 253973 FN 08/31 FIXED 6.5</title>
        <cusip>31371KCJ8</cusip>
        <identifiers>
          <isin value="US31371KCJ88"/>
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        <balance>2480.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2704.850000</valUSD>
        <pctVal>0.0009147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254072 FN 10/31 FIXED 6.5</title>
        <cusip>31371KFM8</cusip>
        <identifiers>
          <isin value="US31371KFM80"/>
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        <balance>8877.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9982.040000</valUSD>
        <pctVal>0.0033757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254144 FN 11/31 FIXED 8</title>
        <cusip>31371KHV6</cusip>
        <identifiers>
          <isin value="US31371KHV61"/>
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        <balance>10580.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11978.630000</valUSD>
        <pctVal>0.0040510</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254212 FN 01/32 FIXED 8</title>
        <cusip>31371KKZ3</cusip>
        <identifiers>
          <isin value="US31371KKZ39"/>
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        <balance>793.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>794.260000</valUSD>
        <pctVal>0.0002686</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254357 FN 05/22 FIXED 7.5</title>
        <cusip>31371KQJ3</cusip>
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          <isin value="US31371KQJ33"/>
        </identifiers>
        <balance>16163.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16531.060000</valUSD>
        <pctVal>0.0055905</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254463 FN 08/32 FIXED 6.5</title>
        <cusip>31371KTU5</cusip>
        <identifiers>
          <isin value="US31371KTU50"/>
        </identifiers>
        <balance>5158.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5918.260000</valUSD>
        <pctVal>0.0020014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254497 FN 09/32 FIXED 6.5</title>
        <cusip>31371KUW9</cusip>
        <identifiers>
          <isin value="US31371KUW97"/>
        </identifiers>
        <balance>6937.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7822.660000</valUSD>
        <pctVal>0.0026455</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254881 FN 07/33 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31371LCS60"/>
        </identifiers>
        <balance>28397.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32121.470000</valUSD>
        <pctVal>0.0108629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254915 FN 09/23 FIXED 4.5</title>
        <cusip>31371LDU0</cusip>
        <identifiers>
          <isin value="US31371LDU08"/>
        </identifiers>
        <balance>20005.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21045.260000</valUSD>
        <pctVal>0.0071171</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255001 FN 11/33 FIXED 6.5</title>
        <cusip>31371LGJ2</cusip>
        <identifiers>
          <isin value="US31371LGJ26"/>
        </identifiers>
        <balance>41187.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47122.120000</valUSD>
        <pctVal>0.0159358</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255071 FN 01/34 FIXED 6.5</title>
        <cusip>31371LJQ3</cusip>
        <identifiers>
          <isin value="US31371LJQ32"/>
        </identifiers>
        <balance>9630.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11082.890000</valUSD>
        <pctVal>0.0037480</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257030 FN 11/47 FIXED 6.5</title>
        <cusip>31371NPP4</cusip>
        <identifiers>
          <isin value="US31371NPP41"/>
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        <balance>6809.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7330.160000</valUSD>
        <pctVal>0.0024789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257154 FN 03/28 FIXED 4.5</title>
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        <identifiers>
          <isin value="US31371NTK18"/>
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        <balance>36962.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39005.480000</valUSD>
        <pctVal>0.0131909</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 303999 FN 12/24 FIXED VAR</title>
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        <identifiers>
          <isin value="US31373UUY18"/>
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        <balance>151.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161.440000</valUSD>
        <pctVal>0.0000546</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 323328 FN 09/28 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31374TD972"/>
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        <balance>2774.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2865.570000</valUSD>
        <pctVal>0.0009691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.51</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 398916 FN 09/27 FIXED 8</title>
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        <identifiers>
          <isin value="US31378HDV06"/>
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        <balance>537.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>538.080000</valUSD>
        <pctVal>0.0001820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 407308 FN 11/28 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31378SNZ64"/>
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        <balance>2720.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3032.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 412436 FN 01/28 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31378YEH36"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5124.520000</valUSD>
        <pctVal>0.0017330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 413793 FN 02/28 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31379AUS22"/>
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        <balance>49984.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52217.510000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 442497 FN 09/28 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31380KRS14"/>
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        <balance>1015.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1131.800000</valUSD>
        <pctVal>0.0003828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 443108 FN 01/29 FIXED 6.5</title>
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        <identifiers>
          <isin value="US31380LGR33"/>
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        <balance>8272.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9223.970000</valUSD>
        <pctVal>0.0031194</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 450811 FN 11/28 FIXED 6.5</title>
        <cusip>31380UYG7</cusip>
        <identifiers>
          <isin value="US31380UYG74"/>
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        <balance>1790.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1996.130000</valUSD>
        <pctVal>0.0006751</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31381D4G75"/>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 494976 FN 06/29 FIXED 6.5</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31383BP843"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 526692 FN 12/29 FIXED 6.5</title>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31384VUG57"/>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 569853 FN 11/27 FLOATING VAR</title>
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          <isin value="US31386QBW06"/>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31386XRR97"/>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31389CX875"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 634933 FN 01/32 FIXED 7</title>
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          <isin value="US31389TLN09"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31402CWF57"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 929119 FN 02/38 FIXED 6.5</title>
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          <isin value="US31412MG440"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51960.240000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995050 FN 09/37 FIXED VAR</title>
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        <identifiers>
          <isin value="US31416BL717"/>
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        <balance>455952.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>525044.190000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA5884 FN 07/39 FIXED 6.5</title>
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          <isin value="US31416PRE96"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA8656 FN 10/36 FIXED 6</title>
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        <identifiers>
          <isin value="US31416STN17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>446532.780000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0938 FN 04/39 FIXED VAR</title>
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        <identifiers>
          <isin value="US31418NBG43"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI1162 FN 04/41 FIXED 4.5</title>
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        <identifiers>
          <isin value="US3138AEJG95"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI9192 FN 08/41 FIXED 4.5</title>
        <cusip>3138APGA0</cusip>
        <identifiers>
          <isin value="US3138APGA00"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78734.180000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0152 FN 06/40 FIXED VAR</title>
        <cusip>3138EGE26</cusip>
        <identifiers>
          <isin value="US3138EGE266"/>
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        <balance>1741493.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2005919.610000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE3702 FN 06/47 FIXED 4</title>
        <cusip>3140FPDG1</cusip>
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          <isin value="US3140FPDG16"/>
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        <curCd>USD</curCd>
        <valUSD>34907.620000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140H44J05"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM2006 FN 01/48 FIXED VAR</title>
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          <isin value="US3140J6GQ47"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA0709 FN 09/47 FIXED 4</title>
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          <isin value="US3140Q7YF83"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3183 FN 11/47 FIXED 4</title>
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          <isin value="US31418CRD82"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3306 FN 03/48 FIXED 4</title>
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          <isin value="US31418CU852"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3384 FN 06/48 FIXED 4</title>
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          <isin value="US31418CXN90"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3415 FN 07/48 FIXED 4</title>
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          <isin value="US31418CYM09"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Fixed</couponKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNR 1992-188</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1992 188 PZ</title>
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        <identifiers>
          <isin value="US31358Q4G75"/>
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        <balance>5532.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5830.780000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FORBES ENERGY SERVICES LLC</name>
        <lei>N/A</lei>
        <title>FORBES ENERGY SERVICES LLC PIK EXIT TERM LOAN</title>
        <cusip>962XCSII2</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BL2335778"/>
        </identifiers>
        <balance>66365.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65792.620000</valUSD>
        <pctVal>0.0222499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>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>256000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>268160.000000</valUSD>
        <pctVal>0.0906868</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>111000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114330.000000</valUSD>
        <pctVal>0.0386643</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 1652</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1652 PL</title>
        <cusip>3133T3PK8</cusip>
        <identifiers>
          <isin value="US3133T3PK80"/>
        </identifiers>
        <balance>137254.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145769.240000</valUSD>
        <pctVal>0.0492965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-15</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>FREDDIE MAC 1721</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1721 K</title>
        <cusip>3133T5JQ7</cusip>
        <identifiers>
          <isin value="US3133T5JQ72"/>
        </identifiers>
        <balance>181117.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196108.420000</valUSD>
        <pctVal>0.0663203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-15</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>FREDDIE MAC 1730</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1730 Z</title>
        <cusip>3133T5LA9</cusip>
        <identifiers>
          <isin value="US3133T5LA92"/>
        </identifiers>
        <balance>8280.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8981.620000</valUSD>
        <pctVal>0.0030374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-15</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>FREDDIE MAC 1795</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1795 D</title>
        <cusip>3133T6LM1</cusip>
        <identifiers>
          <isin value="US3133T6LM14"/>
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        <balance>42480.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47158.130000</valUSD>
        <pctVal>0.0159480</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</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>FREDDIE MAC 1829</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1829 ZB</title>
        <cusip>3133T6J36</cusip>
        <identifiers>
          <isin value="US3133T6J364"/>
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        <balance>28411.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30221.160000</valUSD>
        <pctVal>0.0102202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 1980</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1980 Z</title>
        <cusip>3133TAG22</cusip>
        <identifiers>
          <isin value="US3133TAG222"/>
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        <balance>208718.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235084.460000</valUSD>
        <pctVal>0.0795013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2034</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2034 Z</title>
        <cusip>3133TCV70</cusip>
        <identifiers>
          <isin value="US3133TCV706"/>
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        <balance>142998.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>158029.750000</valUSD>
        <pctVal>0.0534428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2040</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2040 PE</title>
        <cusip>3133TD3W4</cusip>
        <identifiers>
          <isin value="US3133TD3W47"/>
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        <balance>31608.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36141.340000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2104</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2104 ZM</title>
        <cusip>3133THB89</cusip>
        <identifiers>
          <isin value="US3133THB897"/>
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        <balance>76868.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86148.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2138</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2138 KC</title>
        <cusip>3133TJTN3</cusip>
        <identifiers>
          <isin value="US3133TJTN36"/>
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        <balance>1332876.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1512310.770000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2152</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2152 BZ</title>
        <cusip>3133TKXF2</cusip>
        <identifiers>
          <isin value="US3133TKXF29"/>
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        <balance>319354.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>352295.910000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2283</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2283 K</title>
        <cusip>3133TRJM8</cusip>
        <identifiers>
          <isin value="US3133TRJM88"/>
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        <balance>6934.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7354.730000</valUSD>
        <pctVal>0.0024872</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2290</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2290 ZD</title>
        <cusip>3133TRE68</cusip>
        <identifiers>
          <isin value="US3133TRE684"/>
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        <balance>117863.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131523.850000</valUSD>
        <pctVal>0.0444790</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-15</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>FREDDIE MAC 2311</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2311 Z</title>
        <cusip>3133TSDK6</cusip>
        <identifiers>
          <isin value="US3133TSDK69"/>
        </identifiers>
        <balance>66530.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74274.100000</valUSD>
        <pctVal>0.0251182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</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>FREDDIE MAC 2322</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2322 KZ</title>
        <cusip>3133TUHY7</cusip>
        <identifiers>
          <isin value="US3133TUHY73"/>
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        <balance>561622.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>654900.710000</valUSD>
        <pctVal>0.2214755</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2322</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2322 PZ</title>
        <cusip>3133TUKA5</cusip>
        <identifiers>
          <isin value="US3133TUKA50"/>
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        <balance>597243.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>695248.930000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</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>FREDDIE MAC 2359</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2359 PZ</title>
        <cusip>3133TV6U5</cusip>
        <identifiers>
          <isin value="US3133TV6U55"/>
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        <balance>495863.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>554074.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2415</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2415 ZA</title>
        <cusip>31339DKU1</cusip>
        <identifiers>
          <isin value="US31339DKU18"/>
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        <balance>39561.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46114.400000</valUSD>
        <pctVal>0.0155951</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2417</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2417 CJ</title>
        <cusip>31339D5N4</cusip>
        <identifiers>
          <isin value="US31339D5N40"/>
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        <balance>1384206.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1586311.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2457</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2457 PE</title>
        <cusip>31392PKZ7</cusip>
        <identifiers>
          <isin value="US31392PKZ70"/>
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        <balance>119035.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136574.890000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2484</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2484 LZ</title>
        <cusip>31392R3H2</cusip>
        <identifiers>
          <isin value="US31392R3H23"/>
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        <balance>582428.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>681615.610000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC 2756</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2756 NA</title>
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          <isin value="US31394PXG35"/>
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        <curCd>USD</curCd>
        <valUSD>4138.920000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FREDDIE MAC 2947</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2947 OZ</title>
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        <balance>214356.790000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC 3871</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3871 JB</title>
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          <isin value="US3137AC7C73"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071</name>
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        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3</title>
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      <invstOrSec>
        <name>FREDDIE MAC REMIC 2230</name>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4066</name>
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        <name>FREDDIE MAC REMICS 4324</name>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4496</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4496 BI</title>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4923</name>
        <lei>N/A</lei>
        <title>FHR 4923 NS IIO 600BP 1ML</title>
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        <issuerCat>USGSE</issuerCat>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4923</name>
        <lei>N/A</lei>
        <title>FHR 4923 QS IIO 600BP 1ML</title>
        <cusip>965GZQII5</cusip>
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          <ticker value="FHR"/>
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        <balance>10000000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2298953.400000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>3.94637</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4923</name>
        <lei>N/A</lei>
        <title>FHR 4923 SE IIO 600BP 1ML</title>
        <cusip>965GMR906</cusip>
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          <ticker value="FHR"/>
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        <balance>32869906.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7593560.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Floating</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2015-DNA2</name>
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        <title>FREDDIE MAC   STACR STACR 2015 DNA2 B</title>
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        <curCd>USD</curCd>
        <valUSD>1921380.940000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <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"/>
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        <balance>385313.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>507991.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRUCTURED AGENCY CREDIT RISK DEBT NOTES 2017-DNA2</name>
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        <title>FREDDIE MAC   STACR STACR 2017 DNA2 B1</title>
        <cusip>3137G0PR4</cusip>
        <identifiers>
          <isin value="US3137G0PR43"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>751266.490000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1101</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1101 M</title>
        <cusip>312906UC2</cusip>
        <identifiers>
          <isin value="US312906UC22"/>
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        <balance>39129.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39887.250000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1343</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1343 LA</title>
        <cusip>312911GW4</cusip>
        <identifiers>
          <isin value="US312911GW45"/>
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        <balance>8266.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8760.840000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1503</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1503 PZ</title>
        <cusip>312915U58</cusip>
        <identifiers>
          <isin value="US312915U585"/>
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        <balance>47484.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50442.110000</valUSD>
        <pctVal>0.0170586</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1578</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1578 K</title>
        <cusip>3133T0J70</cusip>
        <identifiers>
          <isin value="US3133T0J706"/>
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        <balance>130342.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138368.620000</valUSD>
        <pctVal>0.0467938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.9</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1584</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1584 L</title>
        <cusip>3133T1CA8</cusip>
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          <isin value="US3133T1CA89"/>
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        <balance>12222.500000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1603</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1603 K</title>
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          <isin value="US3133T1RC80"/>
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        <balance>227029.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        </securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC-1628</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1628 LZ</title>
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        <identifiers>
          <isin value="US3133T3KK36"/>
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        <curCd>USD</curCd>
        <valUSD>5162.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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        </securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC-1643</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1643 PK</title>
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          <isin value="US3133T2YT16"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        </securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC-1695</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1695 EB</title>
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          <isin value="US3133T4SX57"/>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-2325</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2325 ZN</title>
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          <isin value="US3133TU5B02"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2014-K715</name>
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        <title>FREMF MORTGAGE TRUST FREMF 2014 K715 D 144A</title>
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        <name>FREMF MORTGAGE TRUST 2014-K715</name>
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        <title>FREMF MORTGAGE TRUST FREMF 2014 K715 X2A 144A</title>
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      </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>
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          <isin value="US30291XAC65"/>
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        <curCd>USD</curCd>
        <valUSD>9118.580000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMF MORTGAGE TRUST 2017-K71</name>
        <lei>N/A</lei>
        <title>FREMF MORTGAGE TRUST FREMF 2017 K71 D 144A</title>
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        <curCd>USD</curCd>
        <valUSD>3062206.910000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
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      <invstOrSec>
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        <name>FRONTIER FINANCE PLC</name>
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        <name>FULL HOUSE RESORTS INC</name>
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        <name>GAZPROM OAO VIA GAZ CAPITAL SA</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
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        <name>GAZPROM OAO VIA GPN CAPITAL SA</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
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        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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        <name>GE CAPITAL COMMERCIAL MTGE CORP 2007-C1</name>
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        <name>GE CAPITAL INTERNATIONAL FUNDING COMPANY</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <name>GENERAL ELECTRIC COMPANY</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
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        <name>GENERAL ELECTRIC COMPANY</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
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        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>GLOBAL PAYMENTS INC</name>
        <lei>549300NOMHGVQBX6S778</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GMAC MORTGAGE CORP LOAN TRUST 2004-AR2</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01N0406B92"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7324408.560000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004217 G2 08/38 FIXED 6.5</title>
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          <isin value="US36202EVJ53"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 004261 G2 10/38 FIXED 6.5</title>
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          <isin value="US36202EWW55"/>
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        <curCd>USD</curCd>
        <valUSD>2081.200000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 616713 G2 11/24 FIXED 6.5</title>
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          <isin value="US36290TDS50"/>
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        <curCd>USD</curCd>
        <valUSD>47101.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 279597 GN 01/20 FIXED 9</title>
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          <isin value="US36220JRS77"/>
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        <curCd>USD</curCd>
        <valUSD>846.110000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 312179 GN 11/21 FIXED 8</title>
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          <isin value="US36223MXG67"/>
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        <curCd>USD</curCd>
        <valUSD>180.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 318070 GN 12/21 FIXED 8</title>
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          <isin value="US36223UJP49"/>
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        <curCd>USD</curCd>
        <valUSD>1011.810000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36223XLE03"/>
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        <curCd>USD</curCd>
        <valUSD>25.780000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36224XNK36"/>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36203CKH42"/>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36203MHA18"/>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36204MAD11"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36205FLK74"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>15046.900000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 399238 GN 04/27 FIXED 7.5</title>
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          <isin value="US36205SPX70"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7156.570000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 405721 GN 09/25 FIXED 7</title>
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          <isin value="US36206AVN08"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6363.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36206FWN85"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>907.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 410289 GN 10/25 FIXED 7.5</title>
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        <identifiers>
          <isin value="US36206FXS63"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3660.190000</valUSD>
        <pctVal>0.0012378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 410324 GN 03/26 FIXED 7.5</title>
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        <identifiers>
          <isin value="US36206FYV83"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22111.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 412531 GN 12/25 FIXED 7</title>
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        <identifiers>
          <isin value="US36206JHG22"/>
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        <balance>131.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139.290000</valUSD>
        <pctVal>0.0000471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36206KC741"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2543.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36206LZH58"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36206RMD51"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36206U3H08"/>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36206U4D84"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36206WJY21"/>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36207EAY05"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36207FKQ36"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36207JA604"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36207JRM70"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10232.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>450.840000</valUSD>
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        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36207XWC28"/>
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        <curCd>USD</curCd>
        <valUSD>13269.980000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 445792 GN 01/28 FIXED 7.5</title>
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          <isin value="US36207YF966"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11892.130000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 446811 GN 06/27 FIXED 7.5</title>
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          <isin value="US36208CKY20"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8942.840000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 447328 GN 06/27 FIXED 7.5</title>
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          <isin value="US36208C4M61"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3048.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 447342 GN 07/27 FIXED 7.5</title>
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          <isin value="US36208C5B97"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19175.090000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 447399 GN 07/27 FIXED 7.5</title>
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        <identifiers>
          <isin value="US36208C7L51"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>523.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 447529 GN 04/27 FIXED 7.5</title>
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          <isin value="US36208DEA90"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502.300000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36208DWB71"/>
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        <curCd>USD</curCd>
        <valUSD>5311.470000</valUSD>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36208FP954"/>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <payoffProfile>Long</payoffProfile>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>HSBC HOLDINGS PLC</name>
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        <debtSec>
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      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
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      <invstOrSec>
        <name>HUDSON PACIFIC PROPERTIES LP</name>
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        <debtSec>
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      <invstOrSec>
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        <debtSec>
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        <name>ING GROEP NV</name>
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        <name>INMARSAT (CONNECT FINCO SARL/CONNECT US FINCO LLC)</name>
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        <curCd>USD</curCd>
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        <name>INSTALLED BUILDING PRODUCTS INC</name>
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      <invstOrSec>
        <name>INTELSAT CONNECT FINANCE SA</name>
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        <issuerCat>CORP</issuerCat>
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        <name>INTELSAT JACKSON HOLDINGS SA</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
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        <curCd>USD</curCd>
        <valUSD>62475.000000</valUSD>
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        <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>
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      <invstOrSec>
        <name>INTELSAT JACKSON HOLDINGS SA</name>
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        <title>INTELSAT JACKSON HLDGS S A TERM LOAN B 3</title>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>INTERNET BRANDS INC (MH SUB I LLC)</name>
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          <isin value="US45567YAJ47"/>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>JP MORGAN CHASE CMML MTGE SEC 2006-CB16</name>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <debtSec>
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        <debtSec>
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        <name>LB-UBS COMMERCIAL MORTGAGE TRUST 2005-C5</name>
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        <name>LEHMAN XS TRUST 2007-16N</name>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
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        <invCountry>GB</invCountry>
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        <debtSec>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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            <dbtSecRefInstrument>
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          <currencyInfos>
            <currencyInfo convRatio="1555.21" curCd="GBP"/>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LOANCORE CAPITAL MARKETS LLC / JLC FINANCE CORP</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MARLETTE FUNDING TRUST 2018-4A</name>
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        <title>MARLETTE FUNDING TRUST MFT 2018 4A CERT 144A</title>
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          <isin value="US57109G1040"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MARLETTE FUNDING TRUST 2019-1A</name>
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        <cusip>57109X107</cusip>
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        <securityLending>
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      <invstOrSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MARRIOTT OWNERSHIP RESORTS INC</name>
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        <curCd>USD</curCd>
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        <debtSec>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MTGES TRU 2004-10</name>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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      <invstOrSec>
        <name>MASTR ALT LN TR 2006-3</name>
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        <name>MASTR REPERFORMING LOAN TRUST 2005-2</name>
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        <name>MCDERMOTT TECHNOLOGY (AMERICAS) INC</name>
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        <name>MELCO RESORTS FINANCE LIMITED</name>
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        <name>MORGAN STANLEY RESECURITIZATION TRUST 2014-R2</name>
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        <name>MOTEL 6 TRUST 2017-M6MZ</name>
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      <invstOrSec>
        <name>NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6</name>
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          <couponKind>Floating</couponKind>
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        <name>NATIONSTAR MORTGAGE LLC / NATIONSTAR CAPITAL CORP</name>
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        <curCd>USD</curCd>
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        <name>NATIONWIDE BUILDING SOCIETY</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS</title>
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          <isin value="XS0332288058"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X BA REGS</title>
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        <identifiers>
          <isin value="XS0329653934"/>
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        <balance>2126727.660000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2515897.390000</valUSD>
        <pctVal>0.8508308</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </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"/>
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        <balance>1880150.540000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1957444.730000</valUSD>
        <pctVal>0.6619723</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>1880150.540000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>1961454.940000</valUSD>
        <pctVal>0.6633285</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>52000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56452.660000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>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"/>
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        <balance>62000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44950.000000</valUSD>
        <pctVal>0.0152013</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NOMURA ASSET ACCEPTANCE CORP 2004-R1</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A</title>
        <cusip>62951MAB6</cusip>
        <identifiers>
          <isin value="US62951MAB63"/>
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        <balance>2324661.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2388288.320000</valUSD>
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        <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>7.5</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NOMURA ASSET ACCEPTANCE CORP 2004-R2</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A2 144A</title>
        <cusip>62951MAN0</cusip>
        <identifiers>
          <isin value="US62951MAN02"/>
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        <balance>887994.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>916493.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NOMURA ASSET ACCEPTANCE CORP 2004-R2</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R2 A3 144A</title>
        <cusip>62951MAT7</cusip>
        <identifiers>
          <isin value="US62951MAT71"/>
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        <balance>2663983.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2954169.950000</valUSD>
        <pctVal>0.9990467</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>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <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"/>
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        <balance>99750.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97910.810000</valUSD>
        <pctVal>0.0331117</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>OAKWOOD MORTGAGE INVESTORS INC 2002-B</name>
        <lei>N/A</lei>
        <title>OAKWOOD MORTGAGE INVESTORS INC OAK 2002 B A1</title>
        <cusip>67087TDM0</cusip>
        <identifiers>
          <isin value="US67087TDM09"/>
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        <balance>12211.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11714.950000</valUSD>
        <pctVal>0.0039618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.2575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>1043390.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1025142.080000</valUSD>
        <pctVal>0.3466844</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>20000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20650.000000</valUSD>
        <pctVal>0.0069835</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>162000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>159035.400000</valUSD>
        <pctVal>0.0537829</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>324653.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>314913.470000</valUSD>
        <pctVal>0.1064980</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>118000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99562.500000</valUSD>
        <pctVal>0.0336702</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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>
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      <invstOrSec>
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        <lei>254900STKLK2DBJJZ530</lei>
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      <invstOrSec>
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        <lei>254900STKLK2DBJJZ530</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED REGS 08/26 8.2</title>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>PETROBRAS GLOBAL FINANCE BV</name>
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        <issuerCat>CORP</issuerCat>
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        <issuerCat>CORP</issuerCat>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
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        <valUSD>638622.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>PETROLEOS MEXICANOS COMPANY GUAR 09/47 6.75</title>
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          <isin value="US71654QCC42"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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        <name>PETROLEOS MEXICANOS (PEMEX)</name>
        <lei>549300CAZKPF4HKMPX17</lei>
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        <name>PETROLEOS MEXICANOS (PEMEX)</name>
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        <name>PETROLEOS MEXICANOS (PEMEX)</name>
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        <name>PETROLEOS MEXICANOS (PEMEX)</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Fixed</couponKind>
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        <name>PETSMART INC</name>
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        <title>PETSMART INC CONSENTING TERM LOAN</title>
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        <name>VICI PROPERTIES INC</name>
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        <name>PINNACOL ASSURANCE</name>
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        <name>PPDI (PHARMACEUTICAL PRODUCT DEVELOPMENT) EAGLE HOLDING COMPANY II LLC</name>
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        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>PROVINCE OF BUENOS AIRES ARGENTINA</name>
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          <isin value="ARPBUE3205N8"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>QORVO INC</name>
        <lei>254900YAUJV2EUEVBR11</lei>
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        <curCd>USD</curCd>
        <valUSD>12105.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>RBSSP RESECURITIZATION TRUST 2009-5</name>
        <lei>N/A</lei>
        <title>RBSSP RESECURITIZATION TRUST RBSSP 2009 5 14A3 144A</title>
        <cusip>74928WBY8</cusip>
        <identifiers>
          <isin value="US74928WBY84"/>
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        <curCd>USD</curCd>
        <valUSD>3755003.100000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>RBSSP RESECURITIZATION TRUST 2009-7</name>
        <lei>N/A</lei>
        <title>RBSSP RESECURITIZATION TRUST RBSSP 2009 7 18A3 144A</title>
        <cusip>75524MCS7</cusip>
        <identifiers>
          <isin value="US75524MCS70"/>
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        <balance>3459609.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2872140.410000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-26</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>RCN GRANDE (RADIATE HOLDCO LLC / RADIATE FINANCE INC)</name>
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          <isin value="US75026JAB61"/>
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        <curCd>USD</curCd>
        <valUSD>35147.500000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>RECKSON OPERATING PARTNERSHIP LP</name>
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          <maturityDt>2020-03-15</maturityDt>
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      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND MINING HOLDINGS L COMMON</title>
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        <curCd>USD</curCd>
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        <name>RESIDENTIAL ACCREDIT LOANS 2005-QS10</name>
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          <isin value="US761118CW63"/>
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        <curCd>USD</curCd>
        <valUSD>1531998.310000</valUSD>
        <pctVal>0.5180940</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD INC 2004-SL1</name>
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        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL1 A6</title>
        <cusip>760985W72</cusip>
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          <isin value="US760985W722"/>
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        <balance>661505.120000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD INC 2004-SL2</name>
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        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL2 A4</title>
        <cusip>7609856D8</cusip>
        <identifiers>
          <isin value="US7609856D82"/>
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        <balance>366515.250000</balance>
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        <curCd>USD</curCd>
        <valUSD>412296.080000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD INC 2004-SL3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 SL3 A4</title>
        <cusip>76112BBS8</cusip>
        <identifiers>
          <isin value="US76112BBS88"/>
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        <balance>14776.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9782.600000</valUSD>
        <pctVal>0.0033083</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>536534.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>600924.160000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2014-3</name>
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          <isin value="US76716XAB82"/>
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        <issuerCat>CORP</issuerCat>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
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        <cusip>780097BB6</cusip>
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          <isin value="US780097BB64"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isContngtConvrtbl>Y</isContngtConvrtbl>
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              <title>Royal Bank of Scotland Group plc</title>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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>
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          <isin value="US780099CJ48"/>
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        <balance>600000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
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              <title>Royal Bank of Scotland Group plc</title>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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>
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          <isin value="US780099CK11"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331650.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <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"/>
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          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" curCd="USD"/>
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          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>85000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89905.350000</valUSD>
        <pctVal>0.0304044</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/23 4.6</title>
        <cusip>80007RAB1</cusip>
        <identifiers>
          <isin value="US80007RAB15"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>212095.820000</valUSD>
        <pctVal>0.0717270</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/25 5.125</title>
        <cusip>80007RAF2</cusip>
        <identifiers>
          <isin value="US80007RAF29"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220084.000000</valUSD>
        <pctVal>0.0744284</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>
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        <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"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>225775.210000</valUSD>
        <pctVal>0.0763531</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>
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        <securityLending>
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          <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"/>
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        <balance>2100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2700753.590000</valUSD>
        <pctVal>0.9133458</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AA BOND CO LIMITED</name>
        <lei>2138002EPF6QVRZBMC58</lei>
        <title>AA BOND CO LTD SR SECURED REGS 07/43 2.875</title>
        <cusip>ACI0R61Q4</cusip>
        <identifiers>
          <isin value="XS1529687870"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2016392.720000</valUSD>
        <pctVal>0.6819074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.875</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>SBERBANK OF RUSSIA VIA SB CAPITAL SA</name>
        <lei>N/A</lei>
        <title>SBERBANK (SB CAP SA) SR UNSECURED 144A 02/22 6.125</title>
        <cusip>78406JAB0</cusip>
        <identifiers>
          <isin value="US78406JAB08"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2152776.000000</valUSD>
        <pctVal>0.7280298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-02-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>135000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>152739.600000</valUSD>
        <pctVal>0.0516538</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"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>111518.600000</valUSD>
        <pctVal>0.0377136</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"/>
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        <balance>208000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211120.000000</valUSD>
        <pctVal>0.0713970</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"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202500.000000</valUSD>
        <pctVal>0.0684818</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>
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        <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"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>213630.260000</valUSD>
        <pctVal>0.0722459</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>
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        <securityLending>
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          <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"/>
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        <balance>12000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12030.000000</valUSD>
        <pctVal>0.0040683</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>
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        <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"/>
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        <balance>166668.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165349.180000</valUSD>
        <pctVal>0.0559181</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>
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        <securityLending>
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          <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"/>
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        <balance>7990000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7870150.000000</valUSD>
        <pctVal>2.6615419</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERT 2005-20B</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2005 20B 1</title>
        <cusip>83162CPH0</cusip>
        <identifiers>
          <isin value="US83162CPH06"/>
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        <balance>61948.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64971.680000</valUSD>
        <pctVal>0.0219722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACCESS FINANCIAL MANUF HSG 1995-1</name>
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        <lei>0W9AIBT6U6ADJ2I8HK17</lei>
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          <isin value="US88033GDC15"/>
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        <curCd>USD</curCd>
        <valUSD>39137.340000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMACEUTICAL FINANCE COMPANY BV</name>
        <lei>549300Q840R30TDKVK53</lei>
        <title>TEVA PHARMACEUT FIN BV COMPANY GUAR 11/21 3.65</title>
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          <isin value="US88165FAF99"/>
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        <curCd>USD</curCd>
        <valUSD>100305.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-10</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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>
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          <isin value="US88166JAA16"/>
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        <curCd>USD</curCd>
        <valUSD>59280.000000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>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"/>
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        <balance>200000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>203209.030000</valUSD>
        <pctVal>0.0687216</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>100000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.917500"/>
        <valUSD>106294.140000</valUSD>
        <pctVal>0.0359467</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>721000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>661517.500000</valUSD>
        <pctVal>0.2237132</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TOBACCO SETTLEMENT FINANCE AUTHORITY</name>
        <lei>N/A</lei>
        <title>TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 FIXED 7.467</title>
        <cusip>88880LAA1</cusip>
        <identifiers>
          <isin value="US88880LAA17"/>
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        <balance>1595000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1651973.400000</valUSD>
        <pctVal>0.5586674</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>Fixed</couponKind>
          <annualizedRt>7.467</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>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"/>
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        <balance>25300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1651078.000000</valUSD>
        <pctVal>0.5583646</pctVal>
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        <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>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>950385.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>992181.710000</valUSD>
        <pctVal>0.3355378</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>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>2232103.940000</balance>
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        <curCd>USD</curCd>
        <valUSD>2507603.420000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TP ICAP PLC</name>
        <lei>5493009UWRK48KKUD358</lei>
        <title>TP ICAP PLC COMPANY GUAR REGS 01/24 5.25</title>
        <cusip>ACI0S0XS7</cusip>
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          <isin value="XS1555815494"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>922915.610000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TP ICAP PLC</name>
        <lei>5493009UWRK48KKUD358</lei>
        <title>TP ICAP PLC SR UNSECURED REGS 05/26 5.25</title>
        <cusip>ACI1C5XB8</cusip>
        <identifiers>
          <isin value="XS2004431107"/>
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        <balance>100000.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRANSOCEAN INC</name>
        <lei>DOL4HJ22ADYSIWES4H94</lei>
        <title>TRANSOCEAN INC COMPANY GUAR 144A 11/25 7.25</title>
        <cusip>893830BK4</cusip>
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          <isin value="US893830BK41"/>
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        <balance>102000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>90270.000000</valUSD>
        <pctVal>0.0305277</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRANSOCEAN PONTUS LIMITED</name>
        <lei>N/A</lei>
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          <isin value="US89382PAA30"/>
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        <curCd>USD</curCd>
        <valUSD>72624.000000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRANSOCEAN POSEIDON LIMITED</name>
        <lei>N/A</lei>
        <title>TRANSOCEAN POSEIDON LTD SR SECURED 144A 02/27 6.875</title>
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          <isin value="US89383JAA60"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62100.000000</valUSD>
        <pctVal>0.0210011</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
        <lei>5493007L6S47Q14SL582</lei>
        <title>TRIUMPH GROUP INC COMPANY GUAR 04/21 4.875</title>
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          <isin value="US896818AH46"/>
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        <curCd>USD</curCd>
        <valUSD>20041.000000</valUSD>
        <pctVal>0.0067775</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
        <lei>5493007L6S47Q14SL582</lei>
        <title>TRIUMPH GROUP INC COMPANY GUAR 06/22 5.25</title>
        <cusip>896818AL5</cusip>
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          <isin value="US896818AL57"/>
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        <balance>14000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13994.400000</valUSD>
        <pctVal>0.0047327</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRIUMPH GROUP INC</name>
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        <name>UNIVISION COMMUNICATIONS INC</name>
        <lei>549300YQDE2JSGTL8V47</lei>
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        <curCd>USD</curCd>
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        <name>US RENAL CARE INC</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>VALARIS PLC</name>
        <lei>7N0UJMJLXD0MDT5D5086</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>VALE OVERSEAS LTD</name>
        <lei>254900BA3U6G5DNV5V04</lei>
        <title>VALE OVERSEAS LIMITED COMPANY GUAR 08/26 6.25</title>
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        <curCd>USD</curCd>
        <valUSD>93757.500000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
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        <lei>254900BA3U6G5DNV5V04</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>VALE OVERSEAS LTD</name>
        <lei>254900BA3U6G5DNV5V04</lei>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>VALE SA</name>
        <lei>254900SMTWBX7RU2SR20</lei>
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          <isin value="XS0802953165"/>
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        <issuerCat>CORP</issuerCat>
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        <name>VENDEE MORTGAGE TRUST 1996-2</name>
        <lei>N/A</lei>
        <title>VENDEE MORTGAGE TRUST VENDE 1996 2 1Z</title>
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          <isin value="US911760HH28"/>
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        <title>VENDEE MORTGAGE TRUST VENDE 1996 1 1Z</title>
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        <name>VENEZUELAN GOVT</name>
        <lei>529900XM8PJTJK5OJI77</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>VE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-09</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>Y</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>VIASAT INC</name>
        <lei>UFC8NYMNFSYIHNSM2I38</lei>
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        <cusip>92552VAL4</cusip>
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          <isin value="US92552VAL45"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23155.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>VIASAT INC</name>
        <lei>UFC8NYMNFSYIHNSM2I38</lei>
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        <curCd>USD</curCd>
        <valUSD>50625.000000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>VOC ESCROW LTD</name>
        <lei>N/A</lei>
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        <cusip>91832VAA2</cusip>
        <identifiers>
          <isin value="US91832VAA26"/>
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        <balance>15000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15564.000000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR5</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR5 A6</title>
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        <identifiers>
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        <balance>162675.150000</balance>
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        <curCd>USD</curCd>
        <valUSD>167392.310000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>WASHINGTON MUTUAL MSC MTG CTFS 2003-MS9</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS9 2A</title>
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        <identifiers>
          <isin value="US939336N665"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WASHINGTON MUTUAL MSC MTG CTFS 2004-RA1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2004 RA1 2A</title>
        <cusip>939336P80</cusip>
        <identifiers>
          <isin value="US939336P801"/>
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        <balance>105768.860000</balance>
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        <curCd>USD</curCd>
        <valUSD>114036.960000</valUSD>
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        <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>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ALLY FINANCIAL INC</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>ALLY FINANCIAL INC COMPANY GUAR 11/31 8</title>
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        <balance>2000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2775.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>WELLS FARGO MTGE BKD SEC TR 2005-AR10</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2005 AR10 2A6</title>
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        <identifiers>
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        <balance>147316.350000</balance>
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        <curCd>USD</curCd>
        <valUSD>154305.070000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>WEST CORPORATION</name>
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        <curCd>USD</curCd>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-10</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND COAL CO PIK TERM LOAN</title>
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          <isin value="US96106JAE91"/>
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        <balance>4266.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3242.370000</valUSD>
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        <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>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WESTMORELAND MINING HOLDINGS LLC</name>
        <lei>N/A</lei>
        <title>WESTMORELAND MNG HLDGS LLC INITIAL TERM LOANS</title>
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        <identifiers>
          <isin value="US96106JAB52"/>
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        <balance>1783.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1800.860000</valUSD>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ALLY FINANCIAL INC</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>ALLY FINANCIAL INC SR UNSECURED 11/31 8</title>
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        <curCd>USD</curCd>
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        <name>WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)</name>
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        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>WYNDHAM DESTINATIONS INC (AKA: WYNDHAM WORLDWIDE CORP)</name>
        <lei>T4VNTWMFQ7JQB65L7T35</lei>
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        <curCd>USD</curCd>
        <valUSD>36607.500000</valUSD>
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        <assetCat>DBT</assetCat>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>
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      <invstOrSec>
        <name>ALTICE FINANCING SA</name>
        <lei>549300DIYGW8HVDF7Q17</lei>
        <title>ALTICE FINANCING SA SR SECURED 144A 05/26 7.5</title>
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        <balance>1350000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1437736.500000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <valUSD>-4367185.230000</valUSD>
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        <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>2.6000000</repurchaseRt>
          <maturityDt>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5071074.500000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4808752.280000</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>-2564000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2567440.040000</valUSD>
        <pctVal>0.8682616</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>2.3000000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2342000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2740060.440000</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>-56954000.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-57024037.640000</valUSD>
        <pctVal>19.2844944</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>2.3300000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>55310889.410000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>58668729.380000</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 PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-591000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-591443.250000</valUSD>
        <pctVal>0.2000154</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>2.2500000</repurchaseRt>
          <maturityDt>2019-10-17</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>657917.880000</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>-3928000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3931181.680000</valUSD>
        <pctVal>1.3294543</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>2.4300000</repurchaseRt>
          <maturityDt>2019-10-17</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4421496.960000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4561099.070000</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>-993000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-993810.960000</valUSD>
        <pctVal>0.3360888</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>2.4500000</repurchaseRt>
          <maturityDt>2019-10-17</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1100000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1160570.000000</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>-4468000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4488963.730000</valUSD>
        <pctVal>1.5180860</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>3.1870000</repurchaseRt>
          <maturityDt>2019-11-06</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>7852904.450000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>6200470.650000</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>-3289000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3301969.620000</valUSD>
        <pctVal>1.1166662</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>2.7300000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3642000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3837937.540000</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>-3970000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3986859.260000</valUSD>
        <pctVal>1.3482834</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>5101000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5145159.180000</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>-14698000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-14747013.740000</valUSD>
        <pctVal>4.9871723</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>2.4500000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>14046653.090000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>15779468.070000</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 PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-7673000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7700008.960000</valUSD>
        <pctVal>2.6040033</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>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>7700000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7857190.610000</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>-1764000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1770303.360000</valUSD>
        <pctVal>0.5986845</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>2.6800000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2092000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2035577.500000</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>-4503000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4519390.920000</valUSD>
        <pctVal>1.5283760</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>2.7300000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4292000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>5074374.930000</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>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-288048.510000</valUSD>
        <pctVal>0.0974128</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>
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              <principalCd>USD</principalCd>
              <collateralVal>314055.000000</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>
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        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1061921.660000</valUSD>
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        <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>2.7800000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1202424.950000</principalAmt>
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              <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 PARIBAS</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
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        <curCd>USD</curCd>
        <valUSD>-1142324.400000</valUSD>
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        <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>2.8500000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <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>-6114000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-6139841.850000</valUSD>
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        <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>7755700.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7728297.720000</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>-2176000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2183920.640000</valUSD>
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        <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="R0MUWSFPU8MPRO8K5P85" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.7300000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1710000.000000</principalAmt>
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              <collateralVal>2430795.780000</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"/>
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        <curCd>USD</curCd>
        <valUSD>-8495223.340000</valUSD>
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        <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>
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            <repurchaseCollateral>
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            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <curCd>USD</curCd>
        <valUSD>-7255602.720000</valUSD>
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        <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"/>
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          <isTriParty>N</isTriParty>
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          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <invstCat>AMBS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-21523304.370000</valUSD>
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        <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>3.1600000</repurchaseRt>
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          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>29294875.000000</principalAmt>
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              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-6580149.860000</valUSD>
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        <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"/>
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          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.1000000</repurchaseRt>
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          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <collateralCd>USD</collateralCd>
              <invstCat>PLCMO</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-677010.000000</valUSD>
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        <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>2.6800000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>705932.100000</principalAmt>
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              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-602796.320000</valUSD>
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        <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>2.6900000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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"/>
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        <balance>-271000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-271819.030000</valUSD>
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        <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>2.7200000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>317000.000000</principalAmt>
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              <collateralVal>323394.600000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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>-2119000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2123243.300000</valUSD>
        <pctVal>0.7180423</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>2.6700000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2366197.000000</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/REGIONS BANK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="930ZZC004"/>
        </identifiers>
        <balance>-1916000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1916791.950000</valUSD>
        <pctVal>0.6482242</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>2.4800000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2210000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2219649.580000</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/REGIONS BANK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="930ZZC004"/>
        </identifiers>
        <balance>-923000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-923383.040000</valUSD>
        <pctVal>0.3122714</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>2.4900000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1193243.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1063490.630000</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>-1131000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1137134.720000</valUSD>
        <pctVal>0.3845583</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>2.8300000</repurchaseRt>
          <maturityDt>2019-10-24</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1304000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1320902.440000</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>-31000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-31049.370000</valUSD>
        <pctVal>0.0105003</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>2.7300000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>34000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>35147.500000</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>-1609000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1611645.020000</valUSD>
        <pctVal>0.5450291</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>2.6900000</repurchaseRt>
          <maturityDt>2019-11-27</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1700000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1844830.000000</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 8.125</title>
        <cusip>02156LAA9</cusip>
        <identifiers>
          <isin value="US02156LAA98"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>663750.000000</valUSD>
        <pctVal>0.2244682</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 PARIBAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLW006"/>
        </identifiers>
        <balance>-1178000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1178971.850000</valUSD>
        <pctVal>0.3987069</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>2.7000000</repurchaseRt>
          <maturityDt>2019-10-23</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1278114.000000</collateralVal>
              <collateralCd>USD</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 BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-2418000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2422334.400000</valUSD>
        <pctVal>0.8191895</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>2538000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2693109.800000</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>-2883000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2905519.750000</valUSD>
        <pctVal>0.9825940</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>3.3880000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5674769.320000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>4081866.880000</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>-1186000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1190117.800000</valUSD>
        <pctVal>0.4024762</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>1262760.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1337641.670000</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>-423000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-423380.750000</valUSD>
        <pctVal>0.1431797</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>2.9458800</repurchaseRt>
          <maturityDt>2019-10-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>963450.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>479804.360000</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>REVERSE REPO BANK OF NEW YORK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="976EBD000"/>
        </identifiers>
        <balance>-702000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-702653.340000</valUSD>
        <pctVal>0.2376246</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>3.0458800</repurchaseRt>
          <maturityDt>2019-10-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>936384.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>786322.750000</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>-9594000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-9635395.450000</valUSD>
        <pctVal>3.2585158</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>11700000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>11979414.720000</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>JPM CHASE REVERSE REPO GBP ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NVG006"/>
        </identifiers>
        <balance>-8438443.230000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-10380144.430000</valUSD>
        <pctVal>3.5103764</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>2019-12-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9140000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>9976620.350000</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>-1166250.820000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-1435656.770000</valUSD>
        <pctVal>0.4855131</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>2021-08-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1500000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>1443363.000000</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 BARCLAYS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971QCQ008"/>
        </identifiers>
        <balance>-4419170.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-5437846.820000</valUSD>
        <pctVal>1.8389811</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>0.8500000</repurchaseRt>
          <maturityDt>2021-08-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>4810000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>4628384.020000</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 NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-5993000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-6001823.030000</valUSD>
        <pctVal>2.0297076</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>2019-10-11</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>6220060.000000</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>-186000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-186679.520000</valUSD>
        <pctVal>0.0631316</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>200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>213893.000000</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>-1821000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1826536.450000</valUSD>
        <pctVal>0.6177015</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>1822436.750000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2039516.480000</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 WARBURG REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZMB001"/>
        </identifiers>
        <balance>-411000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-412297.530000</valUSD>
        <pctVal>0.1394315</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>430481.550000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>458574.430000</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>-186000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-186148.800000</valUSD>
        <pctVal>0.0629521</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>2.4000000</repurchaseRt>
          <maturityDt>2019-10-21</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>200000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>209655.550000</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>-2829000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2830571.650000</valUSD>
        <pctVal>0.9572479</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>3499000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>3578160.000000</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>99250.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99104.800000</valUSD>
        <pctVal>0.0335154</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 NOMURA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLV008"/>
        </identifiers>
        <balance>-942000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-943802.880000</valUSD>
        <pctVal>0.3191770</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>2019-10-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>950383.600000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>991937.740000</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>-935000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-938916.610000</valUSD>
        <pctVal>0.3175246</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>2.9000000</repurchaseRt>
          <maturityDt>2019-11-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1168000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1115440.000000</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>-463000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-464666.800000</valUSD>
        <pctVal>0.1571419</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>2.7000000</repurchaseRt>
          <maturityDt>2019-11-13</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>530000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>530662.500000</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>-914000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-917046.670000</valUSD>
        <pctVal>0.3101285</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>2019-10-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>930000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>931854.660000</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>-914000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-915830.280000</valUSD>
        <pctVal>0.3097172</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>2.6700000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>930000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>931854.660000</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>-274000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-274336.940000</valUSD>
        <pctVal>0.0927758</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>2.3300000</repurchaseRt>
          <maturityDt>2019-10-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>319675.140000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>323671.080000</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>-274000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-274846.360000</valUSD>
        <pctVal>0.0929480</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>2.7800000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>319675.140000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>323671.080000</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>-246000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-246751.670000</valUSD>
        <pctVal>0.0834469</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>2.7500000</repurchaseRt>
          <maturityDt>2019-11-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>316000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>301780.000000</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>-1870000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1873814.800000</valUSD>
        <pctVal>0.6336902</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>2.7200000</repurchaseRt>
          <maturityDt>2019-12-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2400000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2292000.000000</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/REGIONS BANK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="930ZZC004"/>
        </identifiers>
        <balance>-403000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-405232.280000</valUSD>
        <pctVal>0.1370422</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>2.8900000</repurchaseRt>
          <maturityDt>2019-10-24</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>520000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>496600.000000</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/REGIONS BANK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="930ZZC004"/>
        </identifiers>
        <balance>-378000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-378161.280000</valUSD>
        <pctVal>0.1278873</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>2.5600000</repurchaseRt>
          <maturityDt>2019-10-09</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>442000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>445867.500000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>CDS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>319673.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>323669.570000</valUSD>
        <pctVal>0.1094592</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>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBB9Q5G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1992.890000</valUSD>
        <pctVal>0.0006740</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>363856.400000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>332000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-1992.890000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IHKBBM6H5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1380.020000</valUSD>
        <pctVal>0.0004667</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>398524.510000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>323000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-1380.020000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBV37D"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-61069.170000</valUSD>
        <pctVal>0.0206525</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>28720638.880000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>23309000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-61069.170000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IRKBBV1HQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.812200"/>
        <valUSD>61430.470000</valUSD>
        <pctVal>0.0207747</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>23309000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>28759460.020000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-04</settlementDt>
            <unrealizedAppr>61430.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ISKBBZPX1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-59962.150000</valUSD>
        <pctVal>0.0202781</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>19005478.800000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>17382000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-59962.150000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FHLMC PASS THRU POOLS</issuerName>
                <issueTitle>FHLMC TBA GOLD 4.0% NOV 30YR</issueTitle>
                <identifiers>
                  <isin value="US02R0406B30"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>74.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2019-11-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-117.160000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750FAX1 OTC EPUT GN 4.0  11 NOV19 74 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI643601"/>
        </identifiers>
        <balance>20000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.200000</valUSD>
        <pctVal>0.0000001</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>GNMA PASS THRU POOLS</issuerName>
                <issueTitle>GNMA I TBA 4.0% NOV 30YR</issueTitle>
                <identifiers>
                  <isin value="US01N0406B92"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>74.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2019-11-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-781.050000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ARS/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBCTMQF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19018.060000</valUSD>
        <pctVal>0.0064316</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>469039.520000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>30933156.340000</amtCurPur>
            <curPur>ARS</curPur>
            <settlementDt>2019-11-21</settlementDt>
            <unrealizedAppr>-19018.060000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MORTGAGE SEC INC 2002-C</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2002 C M2</title>
        <cusip>03072SDG7</cusip>
        <identifiers>
          <isin value="US03072SDG75"/>
        </identifiers>
        <balance>141318.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3855.760000</valUSD>
        <pctVal>0.0013039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.54338</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 EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19ICKBBNLK2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19846.550000</valUSD>
        <pctVal>0.0067117</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>1316887.440000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1190000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-19846.550000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT TRY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IAKBB55R7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>24843.000000</valUSD>
        <pctVal>0.0084015</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>768421.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4492423.610000</amtCurPur>
            <curPur>TRY</curPur>
            <settlementDt>2019-10-09</settlementDt>
            <unrealizedAppr>24843.000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IEKBBQQ8K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>2312.990000</valUSD>
        <pctVal>0.0007822</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>357000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>441262.170000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>2312.990000</unrealizedAppr>
          </fwdDeriv>
        </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>27655.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>322457.300000</valUSD>
        <pctVal>0.1090492</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>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IDKBBPD8J"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-453.260000</valUSD>
        <pctVal>0.0001533</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>355793.070000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>289000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-453.260000</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="19HUKBBMTL8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.813300"/>
        <valUSD>-4015.260000</valUSD>
        <pctVal>0.0013579</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>466000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>568954.820000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-4015.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <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>104691.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1570365.000000</valUSD>
        <pctVal>0.5310689</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>-401070.530000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ARS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19IKKBCC1C2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ARS" exchangeRt="63.555000"/>
        <valUSD>-16303.100000</valUSD>
        <pctVal>0.0055134</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>94444374.550000</amtCurSold>
            <curSold>ARS</curSold>
            <amtCurPur>1469722.600000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-21</settlementDt>
            <unrealizedAppr>-16303.100000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="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 Strategic Income Fund, Inc.</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>strategicincomefundinc.htm
<DESCRIPTION>PIMCO STRATEGIC INCOME FUND, INC.
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt 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">Schedule of
    Investments&nbsp;&nbsp;PIMCO Strategic Income Fund, Inc.</FONT></TD>
    <TD STYLE="width: 17%"><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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">(Unaudited)</FONT></P></TD></TR>
</TABLE>


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

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

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PRINCIPAL<BR>
    AMOUNT<BR>
    (000s)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MARKET<BR>
    VALUE<BR>
    (000s)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INVESTMENTS IN SECURITIES 349.5% &curren;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LOAN PARTICIPATIONS AND ASSIGNMENTS
    11.3%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Advanced Drainage Systems, Inc.</B><BR>
    TBD% due 09/19/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Advanz Pharma Corp.</B><BR>
    7.528% (LIBOR03M + 5.500%) due 09/06/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,366</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Altice France S.A.</B><BR>
    6.028% (LIBOR03M + 4.000%) due 08/14/2026 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Avantor, Inc.</B><BR>
    5.044% (LIBOR03M + 3.000%) due 11/21/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Core &amp; Main LP</B><BR>
    4.850% - 4.882% (LIBOR03M + 2.750%) due 08/01/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Diamond Resorts Corp.</B><BR>
    5.796% (LIBOR03M + 3.750%) due 09/02/2023 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">824</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">804</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,856</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,740</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Envision Healthcare Corp.</B><BR>
    5.794% (LIBOR03M + 3.750%) due 10/10/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,173</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fleet U.S. Bidco, Inc.</B><BR>
    TBD% due 09/23/2026 &laquo;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Forbes Energy Services LLC (5.000% Cash and 11.000% PIK)</B><BR>
    16.000% (LIBOR03M + 5.000%) due 04/13/2021 ~(d)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Frontier Communications Corp.</B><BR>
    5.800% (LIBOR03M + 3.750%) due 06/15/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>iHeartCommunications, Inc.</B><BR>
    6.100% (LIBOR03M + 4.000%) due 05/01/2026 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,374</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,392</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Intelsat Jackson Holdings S.A.</B><BR>
    5.804% (LIBOR03M + 3.750%) due 11/27/2023 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>IRB Holding Corp.</B><BR>
    5.550% (LIBOR03M + 3.250%) due 02/05/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">436</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>McDermott Technology Americas, Inc.</B><BR>
    7.104% (LIBOR03M + 5.000%) due 05/09/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,092</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Messer Industrie GmbH</B><BR>
    4.604% (LIBOR03M + 2.500%) due 03/01/2026 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>MH Sub LLC</B><BR>
    5.794% (LIBOR03M + 3.750%) due 09/13/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>NCI Building Systems, Inc.</B><BR>
    5.789% (LIBOR03M + 3.750%) due 04/12/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Neiman Marcus Group Ltd. LLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.057% (LIBOR03M + 6.000%) due 10/25/2023 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,817</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,944</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.557% (LIBOR03M + 6.500%) due 10/25/2023 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,620</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,531</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ortho-Clinical Diagnostics S.A.</B><BR>
    5.563% (LIBOR03M + 3.250%) due 06/30/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Pacific Gas &amp; Electric Co.</B><BR>
    TBD% due 02/22/2049 ^&laquo;(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>PetSmart, Inc.</B><BR>
    6.040% (LIBOR03M + 4.000%) due 03/11/2022 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sequa Mezzanine Holdings LLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.187% (LIBOR03M + 5.000%) due 11/28/2021 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.266% (LIBOR03M + 9.000%) due 04/28/2022 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,990</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,870</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>SS&amp;C Technologies, Inc.</B><BR>
    4.294% (LIBOR03M + 2.250%) due 04/16/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Starfruit Finco BV</B><BR>
    5.292% (LIBOR03M + 3.250%) due 10/01/2025 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Syniverse Holdings, Inc.</B><BR>
    7.028% (LIBOR03M + 5.000%) due 03/09/2023 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,664</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,512</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Univision Communications, Inc.</B><BR>
    4.794% (LIBOR03M + 2.750%) due 03/15/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,121</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,065</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>West Corp.</B><BR>
    6.044% (LIBOR03M + 4.000%) due 10/10/2024 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Westmoreland Mining Holdings LLC</B><BR>
    10.389% (LIBOR03M + 8.250%) due 03/15/2022 &laquo;~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Westmoreland Mining Holdings LLC (15.000% PIK)</B><BR>
    15.000% due 03/15/2029 (d)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Loan Participations and Assignments (Cost $35,083)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,509</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CORPORATE BONDS &amp; NOTES 44.9%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BANKING &amp; FINANCE 17.2%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ally Financial, Inc.</B> <BR>
    8.000% due 11/01/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ambac LSNI LLC</B> <BR>
    7.104% due 02/12/2023 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324</FONT></TD></TR>
</TABLE>

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

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ardonagh Midco PLC</B> <BR>
    8.375% due 07/15/2023 (m)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,310</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,466</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Athene Holding Ltd.</B> <BR>
    4.125% due 01/12/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Avolon Holdings Funding Ltd.</B> <BR>
    5.500% due 01/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>AXA Equitable Holdings, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.350% due 04/20/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.000% due 04/20/2048</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Banco de Credito del Peru</B> <BR>
    4.650% due 09/17/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PEN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bank of Ireland</B> <BR>
    7.375% due 06/18/2020 &bull;(i)(j)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">227</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Barclays Bank PLC</B> <BR>
    7.625% due 11/21/2022 (j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">883</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Barclays PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.250% due 01/17/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.875% due 09/15/2024 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,078</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.125% due 06/15/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,958</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.250% due 03/15/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,296</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 06/15/2024 &bull;(i)(j)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BGC Partners, Inc.</B> <BR>
    3.750% due 10/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Brookfield Finance, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.900% due 01/25/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.700% due 09/20/2047 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Cantor Fitzgerald LP</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.875% due 05/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.875% due 10/15/2019 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">930</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">932</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>CBL &amp; Associates LP</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.600% due 10/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">477</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.250% due 12/01/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.950% due 12/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit Suisse Group AG</B> <BR>
    7.500% due 07/17/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Deutsche Bank AG</B> <BR>
    4.250% due 10/14/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,247</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Emerald Bay S.A.</B> <BR>
    0.000% due 10/08/2020 (h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>ESH Hospitality, Inc.</B> <BR>
    4.625% due 10/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fortress Transportation &amp; Infrastructure Investors LLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 10/01/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.750% due 03/15/2022 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GE Capital International Funding Co. Unlimited Co.</B> <BR>
    4.418% due 11/15/2035 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>HSBC Holdings PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.875% due 09/28/2026 &bull;(i)(j)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/23/2028 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">314</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Hudson Pacific Properties LP</B> <BR>
    3.950% due 11/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Hunt Cos., Inc.</B> <BR>
    6.250% due 02/15/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>ING Groep NV</B> <BR>
    5.750% due 11/16/2026 &bull;(i)(j)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Kennedy-Wilson, Inc.</B> <BR>
    5.875% due 04/01/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Lloyds Banking Group PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 09/27/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,308</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.625% due 06/27/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.875% due 06/27/2029 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,390</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,899</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>LoanCore Capital Markets LLC</B> <BR>
    6.875% due 06/01/2020 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">988</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Nationstar Mortgage LLC</B> <BR>
    6.500% due 07/01/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">386</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Navient Corp.</B> <BR>
    6.500% due 06/15/2022 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Newmark Group, Inc.</B> <BR>
    6.125% due 11/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Oppenheimer Holdings, Inc.</B> <BR>
    6.750% due 07/01/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Park Aerospace Holdings Ltd.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.500% due 03/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 02/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Pinnacol Assurance</B> <BR>
    8.625% due 06/25/2034 &laquo;(k)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Reckson Operating Partnership LP</B> <BR>
    7.750% due 03/15/2020 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,605</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Royal Bank of Scotland Group PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 08/10/2020 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">614</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 08/10/2025 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">332</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.625% due 08/15/2021 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,288</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sabra Health Care LP</B> <BR>
    4.800% due 06/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Santander UK Group Holdings PLC</B> <BR>
    6.750% due 06/24/2024 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,701</FONT></TD></TR>
</TABLE>

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

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

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

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sberbank of Russia Via SB Capital S.A.</B>
    <BR>
    6.125% due 02/07/2022 (m)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,153</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Societe Generale S.A.</B> <BR>
    7.375% due 10/04/2023 &bull;(i)(j)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Springleaf Finance Corp.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.625% due 03/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">749</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.125% due 03/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.625% due 01/15/2028 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.875% due 03/15/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Stichting AK Rabobank Certificaten</B> <BR>
    6.500% due 12/29/2049 (i)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>TP ICAP PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.250% due 01/26/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">923</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.250% due 05/29/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>UniCredit SpA</B> <BR>
    7.830% due 12/04/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,240</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,628</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,911</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INDUSTRIALS 20.4%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>AA Bond Co. Ltd.</B> <BR>
    2.875% due 07/31/2043</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,016</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Advanced Drainage Systems, Inc.</B> <BR>
    5.000% due 09/30/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Altice Financing S.A.</B> <BR>
    7.500% due 05/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,350</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,438</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Altice France S.A.</B> <BR>
    8.125% due 02/01/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">664</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Associated Materials LLC</B> <BR>
    9.000% due 01/01/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,383</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Avon International Capital PLC</B> <BR>
    6.500% due 08/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>B.C. Unlimited Liability Co.</B> <BR>
    3.875% due 01/15/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Baffinland Iron Mines Corp.</B> <BR>
    8.750% due 07/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BCPE Cycle Merger Sub, Inc.</B> <BR>
    10.625% due 07/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Beazer Homes USA, Inc.</B> <BR>
    7.250% due 10/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bombardier, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.125% due 01/15/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">408</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 12/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">433</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.875% due 04/15/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,272</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,270</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Cheniere Energy Partners LP</B> <BR>
    4.500% due 10/01/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Clear Channel Worldwide Holdings, Inc.</B> <BR>
    9.250% due 02/15/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,729</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Community Health Systems, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 03/31/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,065</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,050</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 03/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">294</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.625% due 01/15/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">544</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">563</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Connect Finco SARL</B> <BR>
    6.750% due 10/01/2026 (c)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>CVS Pass-Through Trust</B> <BR>
    7.507% due 01/10/2032</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">731</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">903</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Diamond Resorts International, Inc.</B> <BR>
    7.750% due 09/01/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">502</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">519</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>DISH DBS Corp.</B> <BR>
    5.875% due 07/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>EI Group PLC</B> <BR>
    6.875% due 05/09/2025</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">785</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Eldorado Resorts, Inc.</B> <BR>
    6.000% due 09/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,210</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Envision Healthcare Corp.</B> <BR>
    8.750% due 10/15/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,059</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">651</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Exela Intermediate LLC</B> <BR>
    10.000% due 07/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fairstone Financial, Inc.</B> <BR>
    7.875% due 07/15/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">147</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>First Quantum Minerals Ltd.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/01/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">766</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">734</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.875% due 03/01/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">844</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">808</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 02/15/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Flex Ltd.</B> <BR>
    4.875% due 06/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>FMG Resources Pty. Ltd.</B> <BR>
    4.500% due 09/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Frontier Finance PLC</B> <BR>
    8.000% due 03/23/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,305</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Full House Resorts, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.575% due 01/31/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193</FONT></TD></TR>
</TABLE>

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

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

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.738% due 02/02/2024</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>General Electric Co.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.000% due 01/21/2021 &bull;(i)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.875% due 01/14/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.150% due 08/07/2037</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Global Payments, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.200% due 08/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.150% due 08/15/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Go Daddy Operating Co. LLC</B> <BR>
    5.250% due 12/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Hilton Domestic Operating Co., Inc.</B> <BR>
    4.875% due 01/15/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>iHeartCommunications, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.375% due 05/01/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">639</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.375% due 05/01/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,198</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK)</B> <BR>
    3.625% due 05/15/2025 (d)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK)</B> <BR>
    3.875% due 05/15/2027 (d)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Installed Building Products, Inc.</B> <BR>
    5.750% due 02/01/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Intelsat Connect Finance S.A.</B> <BR>
    9.500% due 02/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Intelsat Jackson Holdings S.A.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 02/15/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 10/15/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.750% due 07/15/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Intelsat Luxembourg S.A.</B> <BR>
    7.750% due 06/01/2021 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,032</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,761</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Kinder Morgan, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.300% due 12/01/2034 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,726</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.750% due 01/15/2032 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,201</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Marriott Ownership Resorts, Inc.</B> <BR>
    4.750% due 01/15/2028 (c)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Melco Resorts Finance Ltd.</B> <BR>
    5.625% due 07/17/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Micron Technology, Inc.</B> <BR>
    5.327% due 02/06/2029 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>NCR Corp.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 09/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.125% due 09/01/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Netflix, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.875% due 11/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.625% due 05/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.375% due 11/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Noble Holding International Ltd.</B> <BR>
    7.875% due 02/01/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ortho-Clinical Diagnostics, Inc.</B> <BR>
    6.625% due 05/15/2022 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Pacific Drilling SA</B> <BR>
    8.375% due 10/01/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Par Pharmaceutical, Inc.</B> <BR>
    7.500% due 04/01/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Performance Food Group, Inc.</B> <BR>
    5.500% due 10/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Petroleos Mexicanos</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.750% due 04/21/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,538</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,630</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.350% due 02/12/2028 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">326</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">312</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.490% due 01/23/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/13/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">612</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">639</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.750% due 09/21/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.840% due 01/23/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.690% due 01/23/2050</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Platin GmbH</B> <BR>
    6.875% due 06/15/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Prime Security Services Borrower LLC</B> <BR>
    5.750% due 04/15/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Qorvo, Inc.</B> <BR>
    4.375% due 10/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Radiate Holdco LLC</B> <BR>
    6.875% due 02/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sands China Ltd.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.600% due 08/08/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.125% due 08/08/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.400% due 08/08/2028 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">226</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sensata Technologies, Inc.</B> <BR>
    4.375% due 02/15/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Spanish Broadcasting System, Inc.</B> <BR>
    12.500% due 04/15/2049^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">908</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">942</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Staples, Inc.</B> <BR>
    7.500% due 04/15/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD></TR>
</TABLE>

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

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

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

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Tenet Healthcare Corp.</B></FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.625% due 09/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.875% due 01/01/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Teva Pharmaceutical Finance BV</B> <BR>
    3.650% due 11/10/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Teva Pharmaceutical Finance Co. BV</B> <BR>
    3.650% due 11/10/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Teva Pharmaceutical Finance Netherlands BV</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.375% due 07/25/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.200% due 07/21/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">721</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">661</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.250% due 04/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Topaz Solar Farms LLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.875% due 09/30/2039 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">913</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">953</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 09/30/2039 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,232</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,508</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Transocean Pontus Ltd.</B> <BR>
    6.125% due 08/01/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Transocean, Inc.</B> <BR>
    7.250% due 11/01/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Triumph Group, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.875% due 04/01/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.250% due 06/01/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 09/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>UAL Pass-Through Trust</B> <BR>
    6.636% due 01/02/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,263</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,338</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Unigel Luxembourg S.A.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.750% due 10/01/2026 (c)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.500% due 01/22/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Univision Communications, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.125% due 05/15/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.125% due 02/15/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Valaris PLC</B> <BR>
    5.750% due 10/01/2044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Vale Overseas Ltd.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 08/10/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.875% due 11/21/2036</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.875% due 11/10/2039</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Vale S.A.</B> <BR>
    3.750% due 01/10/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>ViaSat, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.625% due 09/15/2025 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.625% due 04/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>VOC Escrow Ltd.</B> <BR>
    5.000% due 02/15/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Wyndham Destinations, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.900% due 03/01/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.250% due 03/01/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>YPF S.A.</B> <BR>
    63.431% due 09/24/2020 (a)~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARS</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,520</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,408</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UTILITIES 7.3%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Edison International</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.400% due 09/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.950% due 03/15/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 06/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Frontier Communications Corp.</B> <BR>
    8.000% due 04/01/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Gazprom Neft OAO Via GPN Capital S.A.</B> <BR>
    6.000% due 11/27/2023 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,220</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Gazprom OAO Via Gaz Capital S.A.</B> <BR>
    8.625% due 04/28/2034 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,710</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,431</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Odebrecht Offshore Drilling Finance Ltd.</B> <BR>
    6.720% due 12/01/2022 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,043</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,025</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Pacific Gas &amp; Electric Co.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.450% due 08/15/2022 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">342</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">339</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.950% due 03/01/2026 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">460</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.250% due 09/15/2021 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.250% due 06/15/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.300% due 03/15/2027 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">347</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.300% due 12/01/2027 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.400% due 08/15/2024 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.500% due 10/01/2020 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,212</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,244</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.500% due 06/15/2025 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.750% due 02/15/2024 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">231</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.750% due 08/15/2042 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.850% due 11/15/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.000% due 12/01/2046 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.250% due 05/15/2021 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">631</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">637</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.250% due 08/01/2023 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.300% due 03/15/2045 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.500% due 12/15/2041 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.600% due 06/15/2043 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.650% due 08/01/2028 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.750% due 02/15/2044 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.125% due 11/15/2043 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">274</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299</FONT></TD></TR>
</TABLE>

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.400% due 01/15/2040 ^(e)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.800% due 03/01/2037 ^(e)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.050% due 03/01/2034 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 03/01/2039 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.350% due 02/15/2038 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Petrobras Global Finance BV</B> <BR>
    5.093% due 01/15/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">352</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">367</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Rio Oil Finance Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.250% due 07/06/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">537</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">601</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.750% due 01/06/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">743</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">871</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Southern California Edison Co.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.650% due 03/01/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 04/01/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 01/15/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.650% due 04/01/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sprint Communications, Inc.</B> <BR>
    6.000% due 11/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Sprint Corp.</B> <BR>
    7.250% due 09/15/2021 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Talen Energy Supply LLC</B> <BR>
    6.625% due 01/15/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Transocean Poseidon Ltd.</B> <BR>
    6.875% due 02/01/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,427</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Corporate Bonds &amp; Notes (Cost $127,948)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,746</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONVERTIBLE BONDS &amp; NOTES 0.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UTILITIES 0.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right;">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ensco Jersey Finance Ltd.</B> <BR>
    3.000% due 01/31/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Convertible Bonds &amp; Notes (Cost $8)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MUNICIPAL BONDS &amp; NOTES 1.2%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ILLINOIS 0.1%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Chicago, Illinois General Obligation Bonds, Series 2017</B>
    <BR>
    7.045% due 01/01/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Illinois State General Obligation Bonds, (BABs), Series 2010</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.725% due 04/01/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.350% due 07/01/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Illinois State General Obligation Bonds, Series 2003</B> <BR>
    5.100% due 06/01/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WEST VIRGINIA 1.1%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Tobacco Settlement Finance Authority, West Virginia Revenue
    Bonds, Series 2007</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 06/01/2047 (h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,651</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.467% due 06/01/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,595</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,652</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,303</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Municipal Bonds &amp; Notes (Cost $3,390)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,568</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. GOVERNMENT AGENCIES 222.2%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fannie Mae</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.664% due 08/25/2054 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,888</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">755</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500% due 12/25/2027 (a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,886</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.954% due 10/25/2049 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,913</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,172</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.250% due 11/25/2024 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">339</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.325% due 11/01/2027 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.366% due 12/01/2028 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.500% due 07/25/2040 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,132</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.510% due 09/01/2028 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.000% due 01/25/2038 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,653</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,309</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.000% due 07/25/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.025% due 03/01/2032 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.313% due 12/25/2042 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 07/25/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 11/25/2032 - 04/25/2035 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,639</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,274</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.568% due 07/25/2029 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">490</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.702% due 02/25/2042 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">439</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">478</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 06/25/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.796% due 10/25/2042 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.807% due 08/25/2043</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,317</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,460</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 09/25/2031 - 01/25/2044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,144</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,293</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.320% due 10/25/2042 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 06/25/2023 - 11/01/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,324</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,790</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/25/2032 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">348</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.850% due 12/18/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 06/18/2027 - 01/01/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">920</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,010</FONT></TD></TR>
</TABLE>

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 09/25/2041 ~</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 03/25/2045 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">644</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">736</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 10/25/2022 - 06/25/2044</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,193</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 06/19/2041 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.700% due 03/25/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.768% due 07/25/2029 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">660</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">779</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.838% due 06/19/2041 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">681</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">787</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 09/25/2021 - 09/01/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 10/25/2021 - 06/25/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 06/18/2027 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.423% due 05/15/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.556% due 07/15/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fannie Mae UMBS</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.000% due 06/01/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.000% due 09/01/2047 - 07/01/2048 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,871</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,981</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.500% due 09/01/2023 - 03/01/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.500% due 04/01/2041 - 08/01/2041 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 12/01/2032 - 06/01/2040 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,403</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,058</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 12/01/2032 - 02/01/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 01/01/2028 - 02/01/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,062</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,195</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 10/01/2033 - 07/01/2039 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">604</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">689</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 07/01/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 05/01/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 12/01/2022 - 06/01/2032</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fannie Mae UMBS, TBA</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">187,986</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000% due 11/01/2049 - 12/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,002</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.500% due 11/01/2049 - 12/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,180</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,750</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,887</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Freddie Mac</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 02/25/2046 - 11/25/2050 (b)(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,296</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,338</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.100% due 02/25/2046 - 11/25/2050 (a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,103</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.791% due 08/15/2036</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,076</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.079% due 11/25/2045 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,336</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.174% due 11/15/2038 &bull;(a)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,606</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,592</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.298% due 05/15/2038 &bull;(a)(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,893</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.946% due 10/25/2049 (c)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,299</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.964% due 10/15/2049 - 11/25/2049 (c)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,870</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,571</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.637% due 12/01/2026 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.881% due 04/01/2033 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.000% due 02/15/2024</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.414% due 07/25/2032 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 04/01/2039 - 06/15/2041 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,477</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,028</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 12/15/2028 - 03/15/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 02/15/2032 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,384</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,586</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 08/01/2021 - 09/01/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,854</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,435</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 10/15/2023 - 09/15/2031 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,882</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,145</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 09/25/2043 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.900% due 09/15/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.950% due 07/15/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 08/01/2021 - 10/25/2043</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,183</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,327</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 03/15/2029 - 01/01/2036 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,874</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,138</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.168% due 10/25/2029 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">751</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 05/15/2024 - 02/25/2042</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">631</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 08/01/2024 - 12/01/2030 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,011</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 08/15/2022 - 04/15/2030</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 12/01/2026 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.568% due 12/25/2027 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,590</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,921</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.768% due 03/25/2025 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">385</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">508</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ginnie Mae</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.529% due 12/20/2048</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,697</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.983% due 09/20/2049 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,250</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,270</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.006% due 08/20/2049 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,888</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,109</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.156% due 06/20/2047 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,164</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,749</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 04/15/2029 - 12/15/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 07/15/2037 - 11/15/2038 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">958</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 11/20/2024 - 10/20/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 04/15/2032 - 05/15/2032 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">376</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">422</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 04/15/2024 - 06/15/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 06/15/2023 - 03/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 04/15/2027 - 01/15/2029 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 11/15/2021 - 11/15/2022</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 05/15/2022 - 02/15/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.000% due 01/15/2020</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ginnie Mae, TBA</B><BR>
    4.000% due 10/01/2049 - 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,947</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Small Business Administration</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.625% due 02/01/2025</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.510% due 11/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.780% due 08/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.820% due 07/01/2027</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Vendee Mortgage Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/15/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.750% due 02/15/2026 - 06/15/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79</FONT></TD></TR>
</TABLE>

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

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    <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-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 09/15/2030</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,707</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,003</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total U.S. Government Agencies (Cost $651,747)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,813</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. TREASURY OBLIGATIONS 0.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>U.S. Treasury Bonds</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000% due 02/15/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total U.S. Treasury Obligations (Cost $109)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NON-AGENCY MORTGAGE-BACKED SECURITIES
    33.5%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Adjustable Rate Mortgage Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.472% due 07/25/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">382</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.960% due 08/25/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Banc of America Mortgage Trust</B> <BR>
    4.469% due 02/25/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bancorp Commercial Mortgage Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.778% due 08/15/2032 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,342</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.468% due 11/15/2033 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,485</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,485</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>BCAP LLC Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.372% due 07/26/2036 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.658% due 10/26/2033 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.991% due 06/26/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bear Stearns ALT-A Trust</B> <BR>
    3.962% due 08/25/2036 ^~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bear Stearns Commercial Mortgage Securities Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.657% due 10/12/2041 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,065</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.792% due 12/11/2040 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,728</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,456</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.919% due 04/12/2038 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">122</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>CD Commercial Mortgage Trust</B> <BR>
    5.398% due 12/11/2049 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Citigroup Commercial Mortgage Trust</B> <BR>
    5.776% due 12/10/2049 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,924</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,260</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Citigroup Mortgage Loan Trust, Inc.</B> <BR>
    7.000% due 09/25/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Commercial Mortgage Loan Trust</B> <BR>
    6.236% due 12/10/2049 ~(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,652</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,055</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Countrywide Alternative Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.228% due 07/25/2046 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,675</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,560</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 05/25/2022 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 07/25/2035 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Countrywide Home Loan Mortgage Pass-Through Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.658% due 03/25/2035 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,527</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,397</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.588% due 08/25/2034 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">383</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.888% due 03/25/2046 ^&bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,918</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,318</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Countrywide Home Loan Reperforming REMIC Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 11/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">666</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">689</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 06/25/2035 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates
    </B><BR>
    7.000% due 02/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">362</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit Suisse Mortgage Capital Mortgage-Backed Trust</B> <BR>
    6.500% due 03/25/2036 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">963</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Eurosail PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.385% due 09/13/2045 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,642</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,926</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.035% due 09/13/2045 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,173</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,379</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.635% due 09/13/2045 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,331</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GC Pastor Hipotecario FTA</B> <BR>
    0.000% due 06/21/2046 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,354</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,295</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GE Commercial Mortgage Corp. Trust</B> <BR>
    5.606% due 12/10/2049 ~(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">936</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">786</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GMAC Mortgage Corp. Loan Trust</B> <BR>
    4.665% due 08/19/2034 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GS Mortgage Securities Corp. Trust</B> <BR>
    4.744% due 10/10/2032 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,666</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GSAA Home Equity Trust</B> <BR>
    6.000% due 04/01/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">819</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">878</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GSMPS Mortgage Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.470% due 06/19/2027 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 06/25/2043</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,976</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,242</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.000% due 09/19/2027 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>GSR Mortgage Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.348% due 12/25/2034 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">228</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.300% due 03/25/2033 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 01/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">161</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>IM Pastor Fondo de Titluzacion Hipotecaria</B> <BR>
    0.000% due 03/22/2043 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>JPMorgan Chase Commercial Mortgage Securities Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.411% due 05/15/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,068</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,264</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.623% due 05/12/2045</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>JPMorgan Mortgage Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.902% due 10/25/2036 ^~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,567</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,544</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 08/25/2022 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.500% due 06/25/2037 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">248</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>LB-UBS Commercial Mortgage Trust</B> <BR>
    5.350% due 09/15/2040 ~(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,208</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215</FONT></TD></TR>
</TABLE>

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

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Lehman XS Trust</B> <BR>
    2.868% due 09/25/2047 &bull;(m)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,949</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,958</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>MASTR Adjustable Rate Mortgages Trust</B> <BR>
    3.928% due 10/25/2034 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>MASTR Alternative Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 07/25/2036</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">296</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.500% due 03/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">748</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">830</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 04/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>MASTR Reperforming Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 05/25/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,366</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,287</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 07/25/2035</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,700</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,746</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Morgan Stanley Resecuritization Trust</B> <BR>
    3.674% due 12/26/2046 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,383</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,039</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Motel 6 Trust</B> <BR>
    8.954% due 08/15/2024 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,780</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,849</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>NAAC Reperforming Loan REMIC Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 10/25/2034 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">888</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">917</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 03/25/2034 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,325</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,388</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 10/25/2034 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,664</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,954</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Newgate Funding PLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.856% due 12/15/2050 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,880</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,957</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.106% due 12/15/2050 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,880</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,961</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.781% due 12/15/2050 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,589</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,063</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.031% due 12/15/2050 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,127</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,516</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>RBSSP Resecuritization Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 02/26/2037 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,460</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,872</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.232% due 12/26/2036 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,670</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,755</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Residential Accredit Loans, Inc. Trust</B> <BR>
    6.000% due 08/25/2035 ^</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,517</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,532</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Residential Asset Mortgage Products Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 10/25/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">367</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">412</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.500% due 11/25/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">662</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">642</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Structured Asset Mortgage Investments Trust</B> <BR>
    3.946% due 08/25/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,415</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,402</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Structured Asset Securities Corp. Mortgage Loan Trust</B> <BR>
    7.500% due 10/25/2036 ^(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,623</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,242</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>WaMu Mortgage Pass-Through Certificates Trust</B> <BR>
    4.367% due 05/25/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Washington Mutual Mortgage Pass-Through Certificates Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.000% due 03/25/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.500% due 04/25/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Wells Fargo Mortgage-Backed Securities Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.968% due 06/25/2035 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">147</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Non-Agency Mortgage-Backed Securities (Cost $91,032)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,059</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ASSET-BACKED SECURITIES 25.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Access Financial Manufactured Housing Contract Trust</B> <BR>
    7.650% due 05/15/2021</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through
    Certificates</B> <BR>
    5.543% due 11/25/2032 ^&bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Bear Stearns Asset-Backed Securities Trust</B> <BR>
    2.019% due 09/25/2034 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">366</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Citigroup Mortgage Loan Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.178% due 12/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,545</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,158</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.238% due 12/25/2036 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,453</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,264</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Citigroup Mortgage Loan Trust, Inc.</B> <BR>
    2.278% due 03/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,177</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,789</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Conseco Finance Corp.</B> <BR>
    6.530% due 02/01/2031 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Conseco Finance Securitizations Corp.</B> <BR>
    7.960% due 05/01/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,527</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">841</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Countrywide Asset-Backed Certificates</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.148% due 12/25/2036 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,964</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.158% due 06/25/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,238</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,478</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.218% due 06/25/2037 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,154</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,970</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.218% due 06/25/2047 ^&bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,434</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,843</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.308% due 06/25/2037 &bull;(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,449</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,137</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.747% due 07/25/2036 ~(m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,918</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,179</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Countrywide Asset-Backed Certificates Trust</B> <BR>
    3.668% due 11/25/2034 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,297</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,771</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Crecera Americas LLC</B> <BR>
    5.563% due 08/31/2020 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,208</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit-Based Asset Servicing &amp; Securitization LLC</B> <BR>
    5.403% due 12/25/2037 &thorn;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Encore Credit Receivables Trust</B> <BR>
    2.753% due 07/25/2035 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">576</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Flagship Credit Auto Trust</B> <BR>
    0.000% due 12/15/2025 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,913</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Greenpoint Manufactured Housing</B> <BR>
    8.300% due 10/15/2026 ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Marlette Funding Trust</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 12/15/2028 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,537</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 04/16/2029 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,159</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 07/16/2029 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,391</FONT></TD></TR>
</TABLE>

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

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>National Collegiate Commutation Trust</B></FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 03/25/2038</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,280</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 03/25/2038 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,896</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Oakwood Mortgage Investors, Inc.</B> <BR>
    2.258% due 06/15/2032 &bull;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Residential Asset Mortgage Products Trust</B> <BR>
    8.500% due 12/25/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>SMB Private Education Loan Trust</B> <BR>
    0.000% due 10/15/2048 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,723</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>SoFi Consumer Loan Program LLC</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 05/26/2026 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,301</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000% due 11/25/2026 &laquo;(h)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,390</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Asset-Backed Securities (Cost $76,784)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,746</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SOVEREIGN ISSUES 4.1%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Argentina Government International Bond</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.375% due 01/15/2023</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.380% due 12/31/2038 &thorn;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">664</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.250% due 01/15/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.250% due 11/09/2047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.820% due 12/31/2033</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,702</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,955</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51.603% (BADLARPP) due 10/04/2022 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARS</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55.469% (BADLARPP + 2.000%) due 04/03/2022 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,137</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62.614% (BADLARPP + 3.250%) due 03/01/2020 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,410</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79.499% (ARLLMONP) due 06/21/2020 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,835</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,070</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Autonomous City of Buenos Aires Argentina</B> <BR>
    62.660% due 03/29/2024 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,535</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Peru Government International Bond</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.400% due 08/12/2034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PEN</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.940% due 02/12/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,071</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">696</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.150% due 08/12/2032</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,172</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.350% due 08/12/2028</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,191</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.900% due 08/12/2037</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.950% due 08/12/2031</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">563</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.200% due 08/12/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,243</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">468</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Provincia de Buenos Aires</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57.850% (BADLARPP + 3.750%) due 04/12/2025 ~(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARS</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,870</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,088</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63.194% due 05/31/2022 &bull;(a)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Republic of South Africa Government International Bond</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.850% due 09/30/2029</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">599</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.750% due 09/30/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">598</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Turkey Government International Bond</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.625% due 03/31/2025</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">900</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,009</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.200% due 02/16/2026</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">342</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.625% due 04/26/2029 (m)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,278</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Venezuela Government International Bond</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.000% due 12/09/2020 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.250% due 10/13/2024 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.250% due 09/15/2027 ^(e)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Sovereign Issues (Cost $23,556)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,163</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SHARES</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMMON STOCKS 0.5%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMMUNICATION SERVICES 0.4%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Clear Channel Outdoor Holdings, Inc. (f)</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,816</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">736</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>iHeartMedia, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>iHeartMedia, Inc. 'A' (f)</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,075</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">241</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">980</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONSUMER DISCRETIONARY 0.1%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Caesars Entertainment Corp. (f)</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,655</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ENERGY 0.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Forbes Energy Services Ltd. (f)(k)</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INDUSTRIALS 0.0%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Westmoreland Mining Holdings LLC &laquo;(k)</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Common Stocks (Cost $2,273)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,306</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WARRANTS 0.5%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COMMUNICATION SERVICES 0.5%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>iHeartMedia, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,691</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD></TR>
</TABLE>

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

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

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

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 72%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Warrants (Cost $1,971)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PREFERRED SECURITIES 2.4%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BANKING &amp; FINANCE 2.4%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Nationwide Building Society</B><BR>
    10.250% ~</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,440</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,034</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Preferred Securities (Cost $7,188)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,034</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REAL ESTATE INVESTMENT TRUSTS 0.3%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REAL ESTATE 0.3%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>VICI Properties, Inc.</B></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,227</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,002</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Real Estate Investment Trusts (Cost $667)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,002</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SHORT-TERM INSTRUMENTS 3.6%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD>
    <TD STYLE="text-align: right; font-weight: bold">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REPURCHASE AGREEMENTS (l) 1.7%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">4,908</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PRINCIPAL<BR>
    AMOUNT<BR>
    (000s)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. TREASURY BILLS 1.9%</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.956% due 10/22/2019 - 12/05/2019 (g)(h)(o)(q)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,683</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,666</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Short-Term Instruments (Cost $10,573)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,574</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Investments in Securities (Cost $1,032,329)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,217</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Investments 349.5% (Cost $1,032,329)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,217</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Financial Derivative Instruments (n)(p) 0.1</B>%(Cost or Premiums,
    net $(2,439))</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Assets and Liabilities, net (249.6)%</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(737,979)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net Assets 100.0%</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">295,612</FONT></TD></TR>
</TABLE>

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

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

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

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>NOTES
TO SCHEDULE OF INVESTMENTS: </B></FONT></P>

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

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 0pt; margin-left: 0in; text-indent: 0in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>*
A zero balance may reflect actual amounts rounding to less than one thousand.</B></FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&curren;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 98%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>^</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Security is in default.</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"><B>&laquo;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>~</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>&bull;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>&thorn;</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>(a)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest only security.</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"><B>(b)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Principal only security.</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"><B>(c)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>When-issued security.</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"><B>(d)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Payment in-kind security.</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"><B>(e)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>(f)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>(g)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>(h)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Zero coupon security.</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"><B>(i)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">&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"><B>(j)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Contingent convertible security.</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"><B>(k)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>RESTRICTED SECURITIES:</B></FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer Description</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Acquisition<BR>
    Date</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cost</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market<BR>
    Value</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market
    Value<BR>
    as Percentage<BR>
    of Net Assets</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 35%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forbes Energy Services Ltd.</FONT></TD>
    <TD STYLE="text-align: right; width: 15%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">03/11/2014</FONT></TD>
    <TD STYLE="text-align: right; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; width: 15%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">222</FONT></TD>
    <TD STYLE="text-align: right; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; width: 15%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right; width: 15%; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacol Assurance 8.625% due 06/25/2034</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/23/2014</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD>
    <TD STYLE="text-align: right; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.95</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Westmoreland Mining Holdings LLC</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">03/26/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,822</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,799</FONT></TD>
    <TD STYLE="border-top: Black 1pt dotted; border-bottom: Black 1pt solid; text-align: right; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.95</FONT></TD>
    <TD STYLE="border-top: Black 1pt dotted; border-bottom: Black 1pt solid; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">%</FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BORROWINGS
AND OTHER FINANCING TRANSACTIONS</FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(l)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 98%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>REPURCHASE AGREEMENTS:</B></FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lending<BR>
    Rate</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlement<BR>
    Date</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity<BR>
    Date</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal<BR>
    Amount</FONT></TD>
    <TD STYLE="padding-left: 5.4pt; border-bottom: Black 1pt dotted; padding-right: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateralized
    By</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateral<BR>
    (Received)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Repurchase<BR>
    Agreements,<BR>
    at Value</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Repurchase<BR>
    Agreement<BR>
    Proceeds<BR>
    to be<BR>
    Received<SUP>(1)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FICC</FONT></TD>
    <TD STYLE="text-align: center; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.500%</FONT></TD>
    <TD STYLE="text-align: center; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/30/2019</FONT></TD>
    <TD STYLE="text-align: center; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/01/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></TD>
    <TD STYLE="padding-left: 5.4pt; white-space: nowrap; padding-right: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Notes 2.250% due 03/31/2021</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,007)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6" STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Repurchase Agreements</B></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(5,007)</B></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>4,908</B></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>4,908</B></FONT></TD></TR>
<TR>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 3%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 19%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 36%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="width: 12%; text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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">Settlement
    Date</FONT></TD>
    <TD STYLE="width: 11%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity
    Date</FONT></TD>
    <TD STYLE="width: 3%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount<BR>
    Borrowed<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payable
    for<BR>
    Reverse<BR>
    Repurchase<BR>
    Agreements</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BPS</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.250%</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(591)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(591)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.300</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,564)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,567)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.330</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/12/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57,228)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57,298)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.430</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,928)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,931)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.450</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,698)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,747)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.450</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(993)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(994)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.480</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,916)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,917)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.490</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(923)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(923)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/15/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(914)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(917)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,467)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,495)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.560</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/25/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(378)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(378)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.600</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,359)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,367)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.640</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,673)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,700)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.670</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,033)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,039)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.680</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,764)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,770)</FONT></TD></TR>
</TABLE>

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

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

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 36%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.680</FONT></TD>
    <TD STYLE="width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/22/2019</FONT></TD>
    <TD STYLE="width: 11%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/22/2019</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(675)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(677)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.690</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(601)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(603)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.690</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/27/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,609)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,612)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.700</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(463)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(465)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.700</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,178)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,179)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.720</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(271)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(272)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.720</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/04/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,870)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,874)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.730</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,289)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,302)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.730</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,679)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,703)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.730</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.740</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(473)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(475)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.750</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(246)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(247)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.760</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,229)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,256)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.780</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,058)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,062)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.780</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(274)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(275)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.830</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">07/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,131)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,137)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.850</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,138)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,142)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.890</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">07/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/24/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(403)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(405)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(935)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(939)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.940</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/09/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,970)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,987)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.100</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,557)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,580)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.160</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,433)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,523)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.170</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,708)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,775)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.187</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,468)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,489)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BRC</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.850</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/29/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBD</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,419)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,438)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JML</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBD</FONT><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,166)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,436)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.900</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/13/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,439)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,380)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NOM</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/07/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(942)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(944)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.650</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,993)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,002)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RTA</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.482</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/05/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/08/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,418)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,422)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.604</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/14/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/11/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,186)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,190)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.946</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(423)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(423)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.046</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/22/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(702)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(703)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.388</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">07/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/10/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,883)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,906)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.400</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/19/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/21/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(186)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(186)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/23/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBD<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,829)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,831)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.606</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,821)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,827)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.706</FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/20/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(411)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(412)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Reverse Repurchase Agreements</B></FONT></TD>
    <TD STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(228,744)</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Description</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coupon</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity<BR>
    Date</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Principal<BR>
    Amount</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Proceeds</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payable
    for<BR>
    Short Sales<SUP>(4)</SUP></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Obligations (0.1)%</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.4in; padding-right: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Bonds</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000%</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">02/15/2049</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(243)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(239)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Short Sales (0.1)%</B></FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(243)</B></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(239)</B></FONT></TD></TR>
<TR>
    <TD STYLE="width: 46%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; padding-right: 5.4pt; padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(m)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Securities with
    an aggregate market value of $258,374 and cash of $1,020 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">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Times New Roman, Times, Serif"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Includes accrued interest.</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: Times New Roman, Times, Serif"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The average amount of borrowings
    outstanding during the period ended September 30, 2019 was $(225,178) at a weighted average interest rate of 2.754%. 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"><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: Times New Roman, Times, Serif"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open maturity reverse repurchase
    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: Times New Roman, Times, Serif"><SUP>(4)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payable for short sales includes
    $(2) of accrued interest.</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"><B>(n)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>FINANCIAL DERIVATIVE INSTRUMENTS:
    EXCHANGE-TRADED OR CENTRALLY CLEARED</B></FONT></TD></TR>
</TABLE>

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

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

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



<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD COLSPAN="13" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><U>Variation
    Margin</U></FONT></TD>
    </TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-bottom: Black 1pt dotted; width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay/<BR>
    Receive<BR>
    Floating Rate</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; width: 15%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate
    Index</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed
    Rate</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payment<BR>
    Frequency</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity<BR>
    Date</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>
    Amount</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Premiums<BR>
    Paid/<BR>
    (Received)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>
    Appreciation/<BR>
    (Depreciation)</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market<BR>
    Value</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; width: 6%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted; width: 6%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month CAD-Bank Bill</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.300%</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/19/2024</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,200</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">633</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month CAD-Bank Bill</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/20/2044</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,800</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(534)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(418)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(952)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/18/2021</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/19/2022</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,610)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,894)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,504)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/19/2024</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,241)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,212)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,453)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/18/2024</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/20/2025</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,400</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(665)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(266)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/19/2029</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,159</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,792</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,951</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay<SUP>(1)</SUP></FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.500</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/18/2029</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(107)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2)</FONT></TD></TR>
</TABLE>

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

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    <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-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 8%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="width: 15%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.500</FONT></TD>
    <TD STYLE="text-align: right; width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">06/20/2048</FONT></TD>
    <TD STYLE="text-align: right; width: 2%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,800</FONT></TD>
    <TD STYLE="text-align: right; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299</FONT></TD>
    <TD STYLE="text-align: right; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 9%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,770)</FONT></TD>
    <TD STYLE="text-align: right; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 7%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,471)</FONT></TD>
    <TD STYLE="text-align: right; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 6%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; width: 6%; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">01/15/2050</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(270)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(302)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.625</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">01/16/2050</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.750</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">01/22/2050</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(139)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(56)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(195)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-Month USD-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.625</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">02/03/2050</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/19/2021</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">257,400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(406)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,192)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,598)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.260</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">09/06/2024</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,800</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,309)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,303)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.650</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">02/26/2029</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164,400</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(771)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,047</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,276</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(119)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month EUR-EURIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.250</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">08/19/2049</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,600</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,481)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(11,742)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month GBP-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.750</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">03/18/2030</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive<SUP>(1)</SUP></FONT></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></P></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6-Month GBP-LIBOR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.750</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Semi-Annual</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">03/18/2050</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,200</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(345)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(161)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR>
    <TD COLSPAN="7" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Swap Agreements</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(2,384)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(3,424)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(5,808)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>582</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(287)</B></FONT></TD>
    </TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(o)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 98%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Securities with
    an aggregate market value of $551 and cash of $14,063 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"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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"><B>(p)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>FINANCIAL DERIVATIVE INSTRUMENTS:
    OVER THE COUNTER</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FORWARD
FOREIGN CURRENCY CONTRACTS:</FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><U>Unrealized Appreciation/(Depreciation)</U></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 15%; padding-left: 0; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="width: 15%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlement<BR>
    Month</FONT></TD>
    <TD STYLE="width: 4%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency
    to<BR>
    be Delivered</FONT></TD>
    <TD STYLE="width: 4%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 15%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency
    to<BR>
    be Received</FONT></TD>
    <TD STYLE="width: 4%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 15%; text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset</FONT></TD>
    <TD STYLE="width: 4%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 12%; text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BOA</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">364</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">332</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,119</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,632</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(62)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,309</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,760</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BPS</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">396</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,998</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MXN</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,756</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PEN</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,744</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BRC</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MXN</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,756</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,982</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,006</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,382</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,382</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,052</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">01/2020</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,938</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MXN</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,756</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CBK</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,651</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,817</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,163</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,289</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(205)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">326</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">756</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TRY</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,346</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,955</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RUB</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,242</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GLM</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">357</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">441</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,317</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,190</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">768</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TRY</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,492</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">469</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARS</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,933</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HUS</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">569</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">356</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPM</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARS</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,444</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,470</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MYI</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,649</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,582</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">345</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UAG</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">261</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">314</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Forward Foreign Currency Contracts</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>589</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(453)</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OPTIONS
ON SECURITIES</FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 10%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="width: 30%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Description</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 10%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strike<BR>
    Price</FONT></TD>
    <TD STYLE="width: 10%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration<BR>
    Date</FONT></TD>
    <TD STYLE="width: 5%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>
    Amount<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cost</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market<BR>
    Value</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DUB</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.000% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71.609</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.500% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72.828</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 4.000% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73.906</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FAR</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.500% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72.500</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 4.000% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPM</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 4.500% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Freddie Mac, TBA&nbsp;&nbsp;4.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Ginnie Mae, TBA 4.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SAL</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 2.500% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 2.500% due 10/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/03/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">139,000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Put - OTC Fannie Mae UMBS, TBA 3.000% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71.000</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,100</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Purchased Options</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>33</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>0</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"></P>

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

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

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

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

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

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OPTIONS
ON SECURITIES</FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 10%; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="width: 30%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Description</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strike<BR>
    Price</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration<BR>
    Date</FONT></TD>
    <TD STYLE="width: 5%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>
    Amount<SUP>(1)</SUP></FONT></TD>
    <TD STYLE="width: 4%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Premiums<BR>
    (Received)</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market<BR>
    Value</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPM</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Call - OTC Fannie Mae UMBS, TBA 2.500% due 11/01/2049</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100.531</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/2019</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(65)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Written Options</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(65)</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(59)</B></FONT></TD></TR>
</TABLE>
<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CREDIT
DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION<SUP>(2)</SUP></FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="4" STYLE="text-align: center; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><U>Swap Agreements, at Value</U><SUP>(5)</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">Counterparty</FONT></TD>
    <TD STYLE="width: 18%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reference
    Entity</FONT></TD>
    <TD STYLE="width: 8%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed
    <BR>
    Receive Rate</FONT></TD>
    <TD STYLE="width: 8%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payment<BR>
    Frequency</FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity<BR>
    Date</FONT></TD>
    <TD STYLE="width: 12%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Implied<BR>
    Credit Spread at<BR>
    September 30, 2019<SUP>(3)</SUP></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>
    Amount<SUP>(4)</SUP></FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Premiums<BR>
    Paid/(Received)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>
    Appreciation/<BR>
    (Depreciation)</FONT></TD>
    <TD STYLE="width: 2%; text-align: right; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%; text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset</FONT></TD>
    <TD STYLE="width: 2%; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 5%; text-align: center; border-bottom: Black 1pt dotted; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liability</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPM</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Russia Government International Bond</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.000%</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;Quarterly</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/20/2020</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.278%</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23)</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total Swap Agreements</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(23)</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>25</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>2</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>$</B></FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; white-space: nowrap"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>0</B></FONT></TD></TR>
</TABLE>

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 3%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>(q)</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 97%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Securities with
    an aggregate market value of $330 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"><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"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional Amount represents the
    number of contracts.</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"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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"><SUP>(3)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Implied credit spreads, represented
    in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign 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"><SUP>(4)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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"><SUP>(5)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 90%">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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">Level
    1</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    2</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level
    3</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair
    Value<BR>
    at 09/30/2019</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">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,085</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,509</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 47%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,116</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 9%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,911</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,338</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,408</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,427</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,427</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Municipal Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Illinois</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Virginia</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,303</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,303</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Government Agencies</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,813</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,813</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Obligations</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,059</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,059</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,332</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,414</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,746</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sovereign Issues</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,163</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,163</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication Services</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">977</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">980</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer Discretionary</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication Services</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banking &amp; Finance</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,034</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,034</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Investment Trusts</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,002</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,002</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term Instruments</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Repurchase Agreements</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Bills</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,666</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,666</FONT></TD></TR>
</TABLE>

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

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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><P STYLE="margin: 0pt">&nbsp;</P></DIV>
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<P STYLE="margin-top: 0; margin-bottom: 0"></P>

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

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

<P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 90%">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 48%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Investments</FONT></TD>
    <TD STYLE="width: 4%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,374</FONT></TD>
    <TD STYLE="width: 4%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,209</FONT></TD>
    <TD STYLE="width: 4%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,634</FONT></TD>
    <TD STYLE="width: 4%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="width: 9%; text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,217</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Short Sales, at Value - Liabilities </B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S. Treasury Obligations</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(239)</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(239)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Financial Derivative Instruments - Assets </B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange-traded or centrally cleared</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">582</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">582</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Over the counter</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">591</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">591</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,173</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,173</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Financial Derivative Instruments - Liabilities
    </B></FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange-traded or centrally cleared</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(287)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(287)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Over the counter</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(512)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(512)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(799)</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(799)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Financial Derivative Instruments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals</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">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,374</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,344</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">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,634</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,352</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

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

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt 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">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">Beginning<BR>
    Balance<BR>
    at 06/30/2019</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net<BR>
    Purchases</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net<BR>
    Sales/Settlements</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued<BR>
    Discounts/<BR>
    (Premiums)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realized<BR>
    Gain/(Loss)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
    Change in<BR>
    Unrealized<BR>
    Appreciation/<BR>
    (Depreciation)<SUP>(1)</SUP></FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers
    into<BR>
    Level 3</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transfers
    out<BR>
    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">Ending<BR>
    Balance<BR>
    at 09/30/2019</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net
    Change in<BR>
    Unrealized<BR>
    Appreciation/<BR>
    (Depreciation)<BR>
    on Investments<BR>
    Held at<BR>
    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"><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">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,705</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(101)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(456)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,544)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds &amp;
    Notes</FONT></TD>
    <TD COLSPAN="20"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,685</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD>
    <TD STYLE="width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,276</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,862)</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,414</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,862)</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD>
    <TD COLSPAN="20"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,667</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(101)</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,208)</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,544)</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,634</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right; border-top: Black 1pt dotted; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,749)</FONT></TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>&nbsp;</B></FONT></P>

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

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt 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">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">Ending<BR>
    Balance<BR>
    at 09/30/2019</FONT></TD>
    <TD STYLE="padding-left: 0.2in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
    Technique</FONT></TD>
    <TD STYLE="padding-left: 0.1in; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unobservable
    Inputs</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: center; border-bottom: Black 1pt dotted"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Input
    Value(s)<BR>
    (% Unless Noted Otherwise)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><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">Loan Participations and Assignments</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Third Party Vendor</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Broker Quote</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98.250 - 101.000</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds &amp; Notes</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 18%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banking &amp; Finance</FONT></TD>
    <TD STYLE="width: 3%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 7%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,795</FONT></TD>
    <TD STYLE="width: 23%; padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reference Instrument</FONT></TD>
    <TD STYLE="width: 29%; padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Option Adjusted Spread</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 18%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">603.426 bps</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,414</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Valuation Techniques<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">-</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">-</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Proxy Pricing</FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Base Price</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,196.651 - 83,274.586</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="8"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrials</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="padding-left: 0.2in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Valuation Techniques<SUP>(2)</SUP></FONT></TD>
    <TD STYLE="padding-left: 0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">-</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">-</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,634</FONT></TD>
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></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: 8pt Arial, Helvetica, Sans-Serif; width: 100%">
<TR>
    <TD STYLE="vertical-align: top; width: 2%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>(1)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 98%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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 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"><SUP>(2)</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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: 0"></P>

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

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

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

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

<P STYLE="margin: 0"><FONT STYLE="font: 14pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>



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

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

<P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 9pt">1.
INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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. 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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,</FONT></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

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

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<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0">&nbsp;<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt"></FONT></P>

<P STYLE="font: 8pt 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; font-size: 8pt">(Cont.)</FONT></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">&nbsp;</FONT></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif">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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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 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 Schedule of Investments </FONT>for
the Fund.</FONT></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt 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: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;</FONT></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif"></FONT></P>

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<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 9pt">&nbsp;&nbsp;</FONT></P>

<P STYLE="font: 8pt 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; font-size: 8pt">(Cont.)</FONT></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>

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

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

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

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

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-size: 8pt">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: 8pt 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 8pt Arial, Helvetica, Sans-Serif; margin: 0pt 0"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-size: 8pt">2.
FEDERAL INCOME TAX MATTERS</FONT></P>

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

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

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

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

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

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

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="7" STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">Glossary: (abbreviations that may
    be used in the preceding statements)</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-size: 8pt">(Unaudited)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; width: 8%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 24%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; width: 8%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 24%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; width: 7%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 24%"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">Counterparty
    Abbreviations:</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BOA</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Bank of America N.A.</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">FICC</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Fixed Income Clearing Corporation&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">NOM</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Nomura Securities International Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BPS</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BNP Paribas S.A.</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">GLM</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Goldman Sachs Bank USA</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">RTA</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">RBC (Barbados) Trading Bank Corp.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BRC</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Barclays Bank PLC</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">HUS</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">HSBC Bank USA N.A.</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">SAL</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Citigroup Global Markets, Inc.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">CBK</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Citibank N.A.</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">JML</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">JP Morgan Securities Plc</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">UAG</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">UBS AG Stamford</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">DUB</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Deutsche Bank AG</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">JPM</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">JP Morgan Chase Bank N.A.</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">UBS</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">UBS Securities LLC</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">FAR</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Wells Fargo Bank National Association</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">MYI</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Morgan Stanley &amp; Co. International PLC</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="color: #44546A; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="color: #44546A; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="color: #44546A; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">Currency
    Abbreviations:</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">ARS</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Argentine Peso</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">GBP</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">British Pound</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">RUB</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Russian Ruble</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">CAD</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Canadian Dollar</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">MXN</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Mexican Peso</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">TRY</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Turkish New Lira</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">EUR</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Euro</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">PEN</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Peruvian New Sol</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">USD (or $)</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">United States Dollar</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">Exchange
    Abbreviations:</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">OTC</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Over the Counter</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">Index/Spread
    Abbreviations:</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">ARLLMONP</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Argentina Blended Policy Rate</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BADLARPP</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Argentina Badlar Floating Rate Notes</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">LIBOR03M</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">3 Month USD-LIBOR</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">Other&nbsp;&nbsp;Abbreviations:</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; border-bottom: Black 0.5pt solid; text-align: left"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 0.5pt solid"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">ALT</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Alternate Loan Trust</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">PIK</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Payment-in-Kind</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">TBD</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">To-Be-Determined</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">BABs</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Build America Bonds</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">REMIC</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Real Estate Mortgage Investment Conduit</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">TBD%</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Interest rate to be determined when loan settles or at the time of funding</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">EURIBOR</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Euro Interbank Offered Rate</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">TBA</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">To-Be-Announced</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">UMBS</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">Uniform Mortgage-Backed Security</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">LIBOR</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">London Interbank Offered Rate</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left; vertical-align: top"><FONT STYLE="font-size: 8pt">&nbsp;</FONT></TD></TR>
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