The Securities and Exchange Commission has not necessarily reviewed the information in this filing and has not determined if it is accurate and complete.
The reader should not assume that the information is accurate and complete.
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549

FORM NPORT-P
Monthly Portfolio Investments Report

NPORT-P: Filer Information

Confidential
Filer CIK
0001478102
Filer CCC
********
Filer Investment Company Type
Is this a LIVE or TEST Filing? LIVE TEST
Would you like a Return Copy?
Is this an electronic copy of an official filing submitted in paper format?

Submission Contact Information

Name
Phone
E-Mail Address

Notification Information

Notify via Filing Website only?
Notification E-mail Address
Series ID
Class (Contract) ID

NPORT-P: Part A: General Information

Item A.1. Information about the Registrant.

a. Name of Registrant
Western Asset Mortgage Opportunity Fund Inc.
b. Investment Company Act file number for Registrant: (e.g., 811-______)
811-22369
c. CIK number of Registrant
0001478102
d. LEI of Registrant
549300COBGR840ANRS47
e. Address and telephone number of Registrant:
i. Street Address 1
620 Eighth Avenue
ii. Street Address 2
47th Floor
iii. City
New York
iv. State, if applicable
v. Foreign country, if applicable
vi. Zip / Postal Code
10018
vii. Telephone number
1-888-777-0102

Item A.2. Information about the Series.

a. Name of Series.
Western Asset Mortgage Opportunity Fund Inc.
b. EDGAR series identifier (if any).
c. LEI of Series.
549300COBGR840ANRS47

Item A.3. Reporting period.

a. Date of fiscal year-end.
2021-12-31
b. Date as of which information is reported.
2021-09-30

Item A.4. Final filing

a. Does the Fund anticipate that this will be its final filing on Form N PORT? Yes No

NPORT-P: Part B: Information About the Fund

Report the following information for the Fund and its consolidated subsidiaries.

Item B.1. Assets and liabilities. Report amounts in U.S. dollars.

a. Total assets, including assets attributable to miscellaneous securities reported in Part D.
179883684.57
b. Total liabilities.
5054176.40
c. Net assets.
174829508.17

Item B.2. Certain assets and liabilities. Report amounts in U.S. dollars.

a. Assets attributable to miscellaneous securities reported in Part D.
0.00000000
b. Assets invested in a Controlled Foreign Corporation for the purpose of investing in certain types of instruments such as, but not limited to, commodities.
0.00000000
c. Borrowings attributable to amounts payable for notes payable, bonds, and similar debt, as reported pursuant to rule 6-04(13)(a) of Regulation S-X [17 CFR 210.6-04(13)(a)].
Amounts payable within one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
Amounts payable after one year.
Banks or other financial institutions for borrowings.
0.00000000
Controlled companies.
0.00000000
Other affiliates.
0.00000000
Others.
0.00000000
d. Payables for investments purchased either (i) on a delayed delivery, when-issued, or other firm commitment basis, or (ii) on a standby commitment basis.
(i) On a delayed delivery, when-issued, or other firm commitment basis:
1211636.82000000
(ii) On a standby commitment basis:
0.00000000
e. Liquidation preference of outstanding preferred stock issued by the Fund.
0.00000000
f. Cash and cash equivalents not reported in Parts C and D.
531001.00000000

Item B.3. Portfolio level risk metrics.

If the average value of the Fund's debt securities positions for the previous three months, in the aggregate, exceeds 25% or more of the Fund's net asset value, provide:
a. Interest Rate Risk (DV01). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 1 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.
b. Interest Rate Risk (DV100). For each currency for which the Fund had a value of 1% or more of the Fund’s net asset value, provide the change in value of the portfolio resulting from a 100 basis point change in interest rates, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Currency Metric RecordISO Currency code3 month1 year5 years10 years30 years
#1 United States Dollar
Interest Rate Risk (DV01)
-4243.4700000010325.9600000032167.9200000050298.2600000041080.15000000
Interest Rate Risk (DV100)
-424346.960000001032596.370000003216792.410000005029825.600000004108014.63000000

c. Credit Spread Risk (SDV01, CR01 or CS01). Provide the change in value of the portfolio resulting from a 1 basis point change in credit spreads where the shift is applied to the option adjusted spread, aggregated by investment grade and non-investment grade exposures, for each of the following maturities: 3 month, 1 year, 5 years, 10 years, and 30 years.

Credit Spread Risk3 month1 year5 years10 years30 years
Investment grade 0.000000000.000000000.000000000.000000000.00000000
Non-Investment grade 126.500000006038.0000000063804.2600000040870.1000000028588.29000000

For purposes of Item B.3., calculate value as the sum of the absolute values of:
(i) the value of each debt security,
(ii) the notional value of each swap, including, but not limited to, total return swaps, interest rate swaps, and credit default swaps, for which the underlying reference asset or assets are debt securities or an interest rate;
(iii) the notional value of each futures contract for which the underlying reference asset or assets are debt securities or an interest rate; and
(iv) the delta-adjusted notional value of any option for which the underlying reference asset is an asset described in clause (i),(ii), or (iii).

Report zero for maturities to which the Fund has no exposure. For exposures that fall between any of the listed maturities in (a) and (b), use linear interpolation to approximate exposure to each maturity listed above. For exposures outside of the range of maturities listed above, include those exposures in the nearest maturity.

Item B.4. Securities lending.

a. For each borrower in any securities lending transaction, provide the following information:

Borrower Information RecordName of borrowerLEI (if any) of borrowerAggregate value of all securities on loan to the borrower

b. Did any securities lending counterparty provide any non-cash collateral? Yes No

Item B.5. Return information.

a. Monthly total returns of the Fund for each of the preceding three months. If the Fund is a Multiple Class Fund, report returns for each class. Such returns shall be calculated in accordance with the methodologies outlined in Item 26(b) (1) of Form N-1A, Instruction 13 to sub-Item 1 of Item 4 of Form N-2, or Item 26(b) (i) of Form N-3, as applicable.

Monthly Total Return Record Monthly total returns of the Fund for each of the preceding three months Class identification number(s) (if any) of the Class(es) for which returns are reported
Month 1 Month 2 Month 3
#1-0.690000005.44000000-3.21000000C000000000

b. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to derivatives for each of the following categories: commodity contracts, credit contracts, equity contracts, foreign exchange contracts, interest rate contracts, and other contracts. Within each such asset category, further report the same information for each of the following types of derivatives instrument: forward, future, option, swaption, swap, warrant, and other. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

Asset category Instrument type Month 1 Month 2 Month 3
Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation) Monthly net realized gain(loss) Monthly net change in unrealized appreciation (or depreciation)
Commodity Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Credit Contracts0.000000003126.450000000.000000006502.810000000.00000000-242.16000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000003126.450000000.000000006502.810000000.00000000-242.16000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Equity Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Foreign Exchange Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Interest Rate Contracts0.00000000248217.09000000405911.59000000-529517.380000000.00000000-227401.86000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.0000000097265.82000000316395.50000000-325291.900000000.00000000-260414.16000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.00000000150951.2700000089516.09000000-204225.480000000.0000000033012.30000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000
Other Contracts0.000000000.000000000.000000000.000000000.000000000.00000000
Forward 0.000000000.000000000.000000000.000000000.000000000.00000000
Future 0.000000000.000000000.000000000.000000000.000000000.00000000
Option 0.000000000.000000000.000000000.000000000.000000000.00000000
Swaption 0.000000000.000000000.000000000.000000000.000000000.00000000
Swap 0.000000000.000000000.000000000.000000000.000000000.00000000
Warrant 0.000000000.000000000.000000000.000000000.000000000.00000000
Other 0.000000000.000000000.000000000.000000000.000000000.00000000

c. For each of the preceding three months, monthly net realized gain (loss) and net change in unrealized appreciation (or depreciation) attributable to investment other than derivatives. Report in U.S. dollars. Losses and depreciation shall be reported as negative numbers.

MonthMonthly net realized gain(loss)Monthly net change in unrealized appreciation (or depreciation)
Month 1 419411.590000003139888.80000000
Month 2 226484.210000004062600.20000000
Month 3 776302.06000000-3219504.24000000

Item B.6. Flow information.

a. Provide the aggregate dollar amounts for sales and redemptions/repurchases of Fund shares during each of the preceding three months. If shares of the Fund are held in omnibus accounts, for purposes of calculating the Fund's sales, redemptions, and repurchases, use net sales or redemptions/repurchases from such omnibus accounts. The amounts to be reported under this Item should be after any front-end sales load has been deducted and before any deferred or contingent deferred sales load or charge has been deducted. Shares sold shall include shares sold by the Fund to a registered unit investment trust. For mergers and other acquisitions, include in the value of shares sold any transaction in which the Fund acquired the assets of another investment company or of a personal holding company in exchange for its own shares. For liquidations, include in the value of shares redeemed any transaction in which the Fund liquidated all or part of its assets. Exchanges are defined as the redemption or repurchase of shares of one Fund or series and the investment of all or part of the proceeds in shares of another Fund or series in the same family of investment companies.

MonthTotal net asset value of shares sold (including exchanges but excluding reinvestment of dividends and distributions)Total net asset value of shares sold in connection with reinvestments of dividends and distributionsTotal net asset value of shares redeemed or repurchased, including exchanges
Month 1 3038700.8200000054363.400000000.00000000
Month 2 571431.1700000054859.600000000.00000000
Month 3 115849.9700000055864.760000000.00000000

Item B.7. Highly Liquid Investment Minimum information.

a. If applicable, provide the Fund's current Highly Liquid Investment Minimum.
b. If applicable, provide the number of days that the Fund's holdings in Highly Liquid Investments fell below the Fund's Highly Liquid Investment Minimum during the reporting period.
c. Did the Fund's Highly Liquid Investment Minimum change during the reporting period? Yes No N/A

Item B.8. Derivatives Transactions.

For portfolio investments of open-end management investment companies, provide the percentage of the Fund's Highly Liquid Investments that it has pledged as margin or collateral in connection with derivatives transactions that are classified among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]:
(1) Moderately Liquid Investments
(2) Less Liquid Investments
(3) Illiquid Investments
For purposes of Item B.8, when computing the required percentage, the denominator should only include assets (and exclude liabilities) that are categorized by the Fund as Highly Liquid Investments.
Classification

Item B.9. Derivatives Exposure for limited derivatives users.

If the Fund is excepted from the rule 18f-4 [17 CFR 270.18f-4] program requirement and limit on fund leverage risk under rule 18f-4(c)(4) [17 CFR 270.18f-4(c)(4)], provide the following information:
a. Derivatives exposure (as defined in rule 18f-4(a) [17 CFR 270.18f-4(a)]), reported as a percentage of the Fund’s net asset value.
b. Exposure from currency derivatives that hedge currency risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
c. Exposure from interest rate derivatives that hedge interest rate risks, as provided in rule 18f-4(c)(4)(i)(B) [17 CFR 270.18f-4(c)(4)(i)(B)], reported as a percentage of the Fund's net asset value.
d. The number of business days, if any, in excess of the five-business-day period described in rule 18f-4(c)(4)(ii) [17 CFR 270.18f-4(c)(4)(ii)], that the Fund’s derivatives exposure exceeded 10 percent of its net assets during the reporting period.

Item B.10. VaR information.

For Funds subject to the limit on fund leverage risk described in rule 18f-4(c)(2) [17 CFR 270.18f-4(c)(2)], provide the following information, as determined in accordance with the requirement under rule 18f-4(c)(2)(ii) to determine the fund’s compliance with the applicable VaR test at least once each business day:
a. Median daily VaR during the reporting period, reported as a percentage of the Fund's net asset value.
b. For Funds that were subject to the Relative VaR Test during the reporting period, provide:
i. As applicable, the name of the Fund’s Designated Index, or a statement that the Fund's Designated Reference Portfolio is the Fund’s Securities Portfolio.
ii. As applicable, the index identifier for the Fund’s Designated Index.
iii. Median VaR Ratio during the reporting period, reported as a percentage of the VaRof the Fund's Designated Reference Portfolio.
c. Backtesting Results. Number of exceptions that the Fund identified as a result of its backtesting of its VaR calculation model (as described in rule 18f-4(c)(1)(iv) [17 CFR 270.18f-4(c)(1)(iv)] during the reporting period.

NPORT-P: Part C: Schedule of Portfolio Investments

For each investment held by the Fund and its consolidated subsidiaries, disclose the information requested in Part C. A Fund may report information for securities in an aggregate amount not exceeding five percent of its total assets as miscellaneous securities in Part D in lieu of reporting those securities in Part C, provided that the securities so listed are not restricted, have been held for not more than one year prior to the end of the reporting period covered by this report, and have not been previously reported by name to the shareholders of the Fund or to any exchange, or set forth in any registration statement, application, or report to shareholders or otherwise made available to the public.
Schedule of Portfolio Investments Record: 1

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS Mortgage Securities Trust
b. LEI (if any) of issuer. (1)
5493005BBCF84ICNQ550
c. Title of the issue or description of the investment.
GS Mortgage Securities Corp II
d. CUSIP (if any).
36228FCU8
At least one of the following other identifiers:
- ISIN
US36228FCU84

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
15557.41000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
15558.67000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.008899338654

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-03-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.43838000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 2

Item C.1. Identification of investment.

a. Name of issuer (if any).
FRESB Multifamily Mortgage Pas
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FRESB 2018-SB48 Mortgage Trust
d. CUSIP (if any).
30296RAJ9
At least one of the following other identifiers:
- ISIN
US30296RAJ95

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3847075.41000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2998195.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.714925112690

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-02-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.78026100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 3

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Mortgage Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley Mortgage Loan Trust 2007-15AR
d. CUSIP (if any).
61756XBK0
At least one of the following other identifiers:
- ISIN
US61756XBK00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
392223.67000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
373328.88000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.213538826430

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.87891000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 4

Item C.1. Identification of investment.

a. Name of issuer (if any).
BankAmerica Manufactured Housi
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BankAmerica Manufactured Housing Contract Trust
d. CUSIP (if any).
065910AH4
At least one of the following other identifiers:
- ISIN
US065910AH45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
7866000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
705804.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.403710098705

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2026-10-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.87500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 5

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS Mortgage Securities Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GS Mortgage Securities Corp Trust 2019-SMP
d. CUSIP (if any).
36259NAN1
At least one of the following other identifiers:
- ISIN
US36259NAN12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1381039.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.789934928294

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-08-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.33400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 6

Item C.1. Identification of investment.

a. Name of issuer (if any).
Merrill Lynch Mortgage Investo
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Merrill Lynch Mortgage Investors Trust Series 2006-A1
d. CUSIP (if any).
59020U5W1
At least one of the following other identifiers:
- ISIN
US59020U5W12
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B83P0K7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
426761.70000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
275068.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.157335053378

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.75979900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 7

Item C.1. Identification of investment.

a. Name of issuer (if any).
RBSGC Mortgage Pass Through Ce
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RBSGC Mortgage Loan Trust 2007-A
d. CUSIP (if any).
74927WAG9
At least one of the following other identifiers:
- ISIN
US74927WAG96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2700567.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
404487.27000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.231360983757

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.43600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 8

Item C.1. Identification of investment.

a. Name of issuer (if any).
Deutsche Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
d. CUSIP (if any).
25157GAT9
At least one of the following other identifiers:
- ISIN
US25157GAT94

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
161567.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27782.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.015891184669

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
9.08413300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 9

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDA Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDA Mortgage Loan Trust 2005-AR2
d. CUSIP (if any).
45660LY60
At least one of the following other identifiers:
- ISIN
US45660LY609

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65498.98000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
60439.92000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.034570777343

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.86096200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 10

Item C.1. Identification of investment.

a. Name of issuer (if any).
Washington Mutual Mortgage Pas
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual Mortgage Pass-Through Certificates WMALT Ser 2006-AR10 Trust
d. CUSIP (if any).
93935YAA8
At least one of the following other identifiers:
- ISIN
US93935YAA82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
293684.07000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
189814.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.108571157115

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.28600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 11

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2005-J10
d. CUSIP (if any).
12667G4G5
At least one of the following other identifiers:
- ISIN
US12667G4G57
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BPY0DR8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
551177.51000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
386993.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.221354806777

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 12

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2016-1
d. CUSIP (if any).
35563PAH2
At least one of the following other identifiers:
- ISIN
US35563PAH29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
165496410.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
632692.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.361891300057

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.07500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 13

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Banc of America Funding 2004-C Trust
d. CUSIP (if any).
05946XLZ4
At least one of the following other identifiers:
- ISIN
US05946XLZ41
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B17RG13
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
258547.51000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
258765.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.148010117232

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-12-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.99433200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 14

Item C.1. Identification of investment.

a. Name of issuer (if any).
BX Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BX Commercial Mortgage Trust 2020-VIVA
d. CUSIP (if any).
12433XAJ8
At least one of the following other identifiers:
- ISIN
US12433XAJ81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1997687.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.142648984665

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-03-11
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.66704200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 15

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857364
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1252000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1252000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.71612624957

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12758523.84000000 United States Dollar 3561394.38800000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 16

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP865948
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2336000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2336000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.33615888098

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87730000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13500000.00000000 United States Dollar 3196171.65000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 17

Item C.1. Identification of investment.

a. Name of issuer (if any).
ChaseFlex Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ChaseFlex Trust Series 2005-2
d. CUSIP (if any).
16165TBD4
At least one of the following other identifiers:
- ISIN
US16165TBD46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6405222.52000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1263950.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.722961989214

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.41400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 18

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Mortgage Pro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RAMP Series 2004-SL3 Trust
d. CUSIP (if any).
76112BBR0
At least one of the following other identifiers:
- ISIN
US76112BBR06
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1YYKG0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
82788.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
81016.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.046340483850

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-12-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 19

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857452
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1598000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1598000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.91403334410

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11654423.31700000 United States Dollar 1938124.06700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 20

Item C.1. Identification of investment.

a. Name of issuer (if any).
Tharaldson Hotel Portfolio Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Tharaldson Hotel Portfolio Trust 2018-THPT
d. CUSIP (if any).
88327HAQ6
At least one of the following other identifiers:
- ISIN
US88327HAQ65
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BG06582
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
769576.25000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
751682.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.429951658543

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.18547500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 21

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G1CW5
At least one of the following other identifiers:
- ISIN
US3137G1CW57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1795113.33000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1724841.29000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.986584763667

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.80859200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 22

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857647
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1119000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1119000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.64005213519

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13150462.62900000 United States Dollar 22070819.03000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 23

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857250
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-939000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-939000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.53709468717

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#16623286.87800000 United States Dollar 19060379.42000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 24

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
549300YG8OJES76WL398
c. Title of the issue or description of the investment.
STACR Trust 2018-HRP2
d. CUSIP (if any).
35564ACC3
At least one of the following other identifiers:
- ISIN
US35564ACC36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3530000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4114063.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.353185828332

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 25

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP870074
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-983000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-983000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.56226206336

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87930000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11640000.00000000 United States Dollar 1640782.77000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 26

Item C.1. Identification of investment.

a. Name of issuer (if any).
New Century Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
New Century Home Equity Loan Trust 2004-3
d. CUSIP (if any).
64352VHX2
At least one of the following other identifiers:
- ISIN
US64352VHX29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
427929.30000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
431984.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.247089123868

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.15100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 27

Item C.1. Identification of investment.

a. Name of issuer (if any).
Washington Mutual Mortgage Pas
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust
d. CUSIP (if any).
93934FCK6
At least one of the following other identifiers:
- ISIN
US93934FCK66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
125569.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
154307.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.088261542124

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
22.96799800
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 28

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSMPS Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSMPS Mortgage Loan Trust 2006-RP1
d. CUSIP (if any).
3623413E7
At least one of the following other identifiers:
- ISIN
US3623413E74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
307216.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
319451.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.182721740365

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 29

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2006-AR11
d. CUSIP (if any).
45661KAA8
At least one of the following other identifiers:
- ISIN
US45661KAA88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
311886.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
289715.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.165712895398

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.83837700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 30

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857199
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1903000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1903000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.08848901991

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12440000.00000000 United States Dollar 2138941.16800000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 31

Item C.1. Identification of investment.

a. Name of issuer (if any).
ML-CFC Commercial Mortgage Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ML-CFC Commercial Mortgage Trust 2007-5
d. CUSIP (if any).
55312YAH5
At least one of the following other identifiers:
- ISIN
US55312YAH53
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1W6767
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
44999.41000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22094.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.012637889468

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-08-12
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.45000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 32

Item C.1. Identification of investment.

a. Name of issuer (if any).
Chase Mortgage Finance Corpora
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Chase Mortgage Finance Trust Series 2006-S3
d. CUSIP (if any).
16162XAH0
At least one of the following other identifiers:
- ISIN
US16162XAH08
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B7XY5P7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
133224.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
83316.27000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.047655725210

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 33

Item C.1. Identification of investment.

a. Name of issuer (if any).
Voya CLO Ltd
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
VOYA CLO 2017-2
d. CUSIP (if any).
92915XAD0
At least one of the following other identifiers:
- ISIN
US92915XAD03

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
400000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
393005.91000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.224793808616

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-collateralized bond/debt obligation
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
CAYMAN ISLANDS
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-06-07
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.14613000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 34

Item C.1. Identification of investment.

a. Name of issuer (if any).
ML-CFC Commercial Mortgage Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ML-CFC Commercial Mortgage Trust 2007-9
d. CUSIP (if any).
60688CAJ5
At least one of the following other identifiers:
- ISIN
US60688CAJ53
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B2B3CN8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
28525.03000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
28109.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.016078309831

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-09-12
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.19300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 35

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Funding Mtg Sec I
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFMSI Series 2006-SA2 Trust
d. CUSIP (if any).
749574AG4
At least one of the following other identifiers:
- ISIN
US749574AG42

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
26287.64000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
20497.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.011724307992

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.19273900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 36

Item C.1. Identification of investment.

a. Name of issuer (if any).
FREMF Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FREMF 2021-KF100 Mortgage Trust
d. CUSIP (if any).
30320YAE5
At least one of the following other identifiers:
- ISIN
US30320YAE59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1900000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1900344.66000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.086970203080

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.45000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 37

Item C.1. Identification of investment.

a. Name of issuer (if any).
American Home Mortgage Assets
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
American Home Mortgage Assets Trust 2005-2
d. CUSIP (if any).
02660VBH0
At least one of the following other identifiers:
- ISIN
US02660VBH06
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B580534
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
715813.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
583328.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.333655637486

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.81146900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 38

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU Mortgage Pass-Through Cer
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust
d. CUSIP (if any).
92922FD96
At least one of the following other identifiers:
- ISIN
US92922FD965

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1455418.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1063639.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.608386462407

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.88100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 39

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857249
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1793000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1793000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.02557057945

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11866152.56100000 United States Dollar 2138196.30000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 40

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Adjustable Rate Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Adjustable Rate Mortgage Loan Trust
d. CUSIP (if any).
863579PF9
At least one of the following other identifiers:
- ISIN
US863579PF99
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B41CF85
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49787.75000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51639.09000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029536827358

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.98157100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 41

Item C.1. Identification of investment.

a. Name of issuer (if any).
Radnor Re LTD
b. LEI (if any) of issuer. (1)
254900YVLP8CB4GC2O97
c. Title of the issue or description of the investment.
Radnor RE 2020-1 Ltd
d. CUSIP (if any).
750493AE8
At least one of the following other identifiers:
- ISIN
US750493AE81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2345000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2343774.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.340605784763

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 42

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman Mortgage Trust 2006-7
d. CUSIP (if any).
52520QAH7
At least one of the following other identifiers:
- ISIN
US52520QAH74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2832859.06000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1486250.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.850114180127

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.26600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 43

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857518
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2268000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2268000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.29726384506

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13750000.00000000 United States Dollar 3302281.50000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 44

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley ReRemic Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley Resecuritization Trust 2015-R2
d. CUSIP (if any).
61690HAE9
At least one of the following other identifiers:
- ISIN
US61690HAE99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
913864.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
835514.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.477902700033

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-12-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.80915900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 45

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Mortgage Trust 2007-S2
d. CUSIP (if any).
46630WBB5
At least one of the following other identifiers:
- ISIN
US46630WBB54

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
38716.33000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
40975.88000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.023437622417

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 46

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857362
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3121000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3121000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.78516775152

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13516681.07800000 United States Dollar 3918856.23700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 47

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSAA Home Equity Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSAA Resecuritization Mortgage Trust 2005-R1
d. CUSIP (if any).
36242D3S0
At least one of the following other identifiers:
- ISIN
US36242D3S06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
265960.97000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51132.33000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029246967823

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.91400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 48

Item C.1. Identification of investment.

a. Name of issuer (if any).
American Home Mortgage Investm
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
American Home Mortgage Investment Trust 2007-A
d. CUSIP (if any).
026933AA9
At least one of the following other identifiers:
- ISIN
US026933AA96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1767775.33000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
705648.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.403620657282

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.98600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 49

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Accredit Loans, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RALI Series 2006-QO2 Trust
d. CUSIP (if any).
761118VY1
At least one of the following other identifiers:
- ISIN
US761118VY19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
174031.45000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
51364.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029379880168

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.52600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 50

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857247
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-656000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-656000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.37522269945

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11638296.44600000 United States Dollar 1241075.31900000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 51

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Capital I Trust
b. LEI (if any) of issuer. (1)
549300XYOVNMTJWOZ135
c. Title of the issue or description of the investment.
Morgan Stanley Capital I Trust 2007-IQ16
d. CUSIP (if any).
61756UAH4
At least one of the following other identifiers:
- ISIN
US61756UAH41
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B2B3CY9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
133990.21000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
80896.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.046271702555

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-12-12
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.46950400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 52

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857198
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1716000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1716000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.98152767113

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13501991.00000000 United States Dollar 3170497.08000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 53

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Capital I Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley Capital I Trust 2007-IQ13
d. CUSIP (if any).
61753JAG4
At least one of the following other identifiers:
- ISIN
US61753JAG40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1539.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1539.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000880412017

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-03-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.43800000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 54

Item C.1. Identification of investment.

a. Name of issuer (if any).
Multifamily Structured Credit
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac Multifamily Structured Credit Risk
d. CUSIP (if any).
35563FAC5
At least one of the following other identifiers:
- ISIN
US35563FAC59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
950000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1139607.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.651839092798

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.80000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 55

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2004-AR13
d. CUSIP (if any).
45660N7J8
At least one of the following other identifiers:
- ISIN
US45660N7J87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
33575.48000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33348.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.019074811997

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.34991200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 56

Item C.1. Identification of investment.

a. Name of issuer (if any).
GS Mortgage Securities Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GS Mortgage Securities Trust 2007-GG10
d. CUSIP (if any).
36246LAH4
At least one of the following other identifiers:
- ISIN
US36246LAH42
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B241JS3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2277120.04000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
881553.09000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.504235869120

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-08-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.96789100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 57

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857514
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2001000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2001000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.14454363050

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13445191.57000000 United States Dollar 3318481.80700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 58

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP865836
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1499000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1499000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.85740674768

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87730000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12977486.00000000 United States Dollar 2277937.28000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 59

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Securitizati
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Residential Asset Securitization Trust 2006-A1
d. CUSIP (if any).
45660L6P9
At least one of the following other identifiers:
- ISIN
US45660L6P92
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BDB2XT5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2850592.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
727853.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.416321859861

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.41400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 60

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857248
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-618000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-618000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.35348723820

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1994798.67260000 United States Dollar 4443468.77500000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 61

Item C.1. Identification of investment.

a. Name of issuer (if any).
Cascade MH Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Cascade MH Asset Trust 2019-MH1
d. CUSIP (if any).
14732FAC6
At least one of the following other identifiers:
- ISIN
US14732FAC68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1150000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1192115.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.681873444865

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.98500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 62

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHEVY CHASE MORTGAGE FUNDING C
b. LEI (if any) of issuer. (1)
5493002S53YJRKTJK143
c. Title of the issue or description of the investment.
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2
d. CUSIP (if any).
16678WAA4
At least one of the following other identifiers:
- ISIN
US16678WAA45
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B2R9PJ7
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
69604.63000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
77914.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.044565926436

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.21600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 63

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Adjustable Rate Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Adjustable Rate Mortgage Loan Trust Series 2004-18
d. CUSIP (if any).
863579FR4
At least one of the following other identifiers:
- ISIN
US863579FR48
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B0Z9982
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
173044.92000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
170897.54000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.097750969952

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-12-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.65322600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 64

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2020-LOTS Trust
d. CUSIP (if any).
12597RAA2
At least one of the following other identifiers:
- ISIN
US12597RAA23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1384000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1386738.94000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.793195012967

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2022-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.72450000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 65

Item C.1. Identification of investment.

a. Name of issuer (if any).
Helios Issuer, LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SUNNOVA HELIOS II ISSUER LLC 2018-1
d. CUSIP (if any).
86745JAB3
At least one of the following other identifiers:
- ISIN
US86745JAB35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1173759.04000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1220049.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.697850753440

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-07-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.71000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 66

Item C.1. Identification of investment.

a. Name of issuer (if any).
REDWOOD FUNDING TRUST 2019-1
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Redwood Funding Trust 2019-1
d. CUSIP (if any).
75806BAA1
At least one of the following other identifiers:
- ISIN
US75806BAA17

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2376413.12000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2384088.93000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.363665067158

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-09-27
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.21300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 67

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP865731
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1818000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1818000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.03987022501

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87730000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14075180.76400000 United States Dollar 2588894.87300000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 68

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857517
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3618000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3618000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.06944470522

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14520000.00000000 United States Dollar 4524573.34000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 69

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G0LK3
At least one of the following other identifiers:
- ISIN
US3137G0LK36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1575701.26000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1695681.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.969905662807

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.68600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 70

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Asset Mortgage Inve
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Asset Mortgage Investments II Trust 2006-AR5
d. CUSIP (if any).
86360JAN1
At least one of the following other identifiers:
- ISIN
US86360JAN19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
503946.98000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
257207.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.147118860364

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.52600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 71

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR Adjustable Rate Mortgage
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR Adjustable Rate Mortgages Trust 2006-OA1
d. CUSIP (if any).
576433G42
At least one of the following other identifiers:
- ISIN
US576433G423

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
134275.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
124951.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.071470400682

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2046-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.29600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 72

Item C.1. Identification of investment.

a. Name of issuer (if any).
BELLEMEADE RE LT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bellemeade Re 2017-1 Ltd
d. CUSIP (if any).
078767AC4
At least one of the following other identifiers:
- ISIN
US078767AC47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1070000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1110553.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.635220691074

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 73

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857520
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1531000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1531000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.87571029400

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12114657.61700000 United States Dollar 3143507.29700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 74

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP869648
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1182000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1182000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.67608724200

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87930000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11575700.93000000 United States Dollar 1712638.11300000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 75

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Mortgage Trust 2007-S2
d. CUSIP (if any).
46630WBC3
At least one of the following other identifiers:
- ISIN
US46630WBC38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13677.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
14401.49000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.008237448100

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 76

Item C.1. Identification of investment.

a. Name of issuer (if any).
BX Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BX Commercial Mortgage Trust 2019-IMC
d. CUSIP (if any).
05608BAQ3
At least one of the following other identifiers:
- ISIN
US05608BAQ32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1994976.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.141098331101

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.98400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 77

Item C.1. Identification of investment.

a. Name of issuer (if any).
BX Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BX Trust 2021-VIEW
d. CUSIP (if any).
05606GAL5
At least one of the following other identifiers:
- ISIN
US05606GAL59

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
880000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
882709.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.504897479401

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.98400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 78

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-PHMZ
d. CUSIP (if any).
46650BAA9
At least one of the following other identifiers:
- ISIN
US46650BAA98

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
360450.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.206172289662

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.44165000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 79

Item C.1. Identification of investment.

a. Name of issuer (if any).
BX Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BX Trust 2021-VIEW
d. CUSIP (if any).
05606GAN1
At least one of the following other identifiers:
- ISIN
US05606GAN16

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
880000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
883272.54000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.505219370142

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-06-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.68400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 80

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Mortgage Trust 2007-S3
d. CUSIP (if any).
46631NAT6
At least one of the following other identifiers:
- ISIN
US46631NAT63
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8ZRSV8
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2077750.10000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
773941.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.442683834154

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 81

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Securitizati
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Residential Asset Securitization Trust 2007-A2
d. CUSIP (if any).
761120AA2
At least one of the following other identifiers:
- ISIN
US761120AA26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
198642.54000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
158470.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.090643073734

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 82

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G0JZ3
At least one of the following other identifiers:
- ISIN
US3137G0JZ33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
494544.12000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
574788.45000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.328770844245

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 83

Item C.1. Identification of investment.

a. Name of issuer (if any).
Extended Stay America Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Extended Stay America Trust 2021-ESH
d. CUSIP (if any).
30227FAL4
At least one of the following other identifiers:
- ISIN
US30227FAL40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2288096.39000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2317648.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.325661968771

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.93400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 84

Item C.1. Identification of investment.

a. Name of issuer (if any).
BPR Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BPR Trust 2021-TY
d. CUSIP (if any).
05592AAQ3
At least one of the following other identifiers:
- ISIN
US05592AAQ31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1006897.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.575930808557

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.30000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 85

Item C.1. Identification of investment.

a. Name of issuer (if any).
Renaissance Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Renaissance Home Equity Loan Trust 2006-1
d. CUSIP (if any).
759950GX0
At least one of the following other identifiers:
- ISIN
US759950GX06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
529287.98000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
387746.69000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.221785609339

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.16600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 86

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Accredit Loans, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RALI Series 2006-QA4 Trust
d. CUSIP (if any).
748939AA3
At least one of the following other identifiers:
- ISIN
US748939AA32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
171007.53000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
161905.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.092607690597

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.44600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 87

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Accredit Loans, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RALI Series 2005-QA3 Trust
d. CUSIP (if any).
76110H2N8
At least one of the following other identifiers:
- ISIN
US76110H2N86

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
945430.89000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
500412.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.286229021197

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.57427900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 88

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Mortgage Pro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RAMP Series 2004-RS4 Trust
d. CUSIP (if any).
7609853J8
At least one of the following other identifiers:
- ISIN
US7609853J89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
925329.91000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
897104.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.513131095196

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.11100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 89

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Trust 2017-CHOP
d. CUSIP (if any).
12651QAQ2
At least one of the following other identifiers:
- ISIN
US12651QAQ29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1620000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1533174.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.876954157251

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.68400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 90

Item C.1. Identification of investment.

a. Name of issuer (if any).
Starwood Retail Property Trust
b. LEI (if any) of issuer. (1)
5493007115G809OI4R97
c. Title of the issue or description of the investment.
Starwood Retail Property Trust 2014-STAR
d. CUSIP (if any).
85571XAS6
At least one of the following other identifiers:
- ISIN
US85571XAS62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000009151773

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.48380000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 91

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY & COMPANY LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
CDS CMBX.NA.BBB-.8
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WR296096
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-64728.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.03702370994

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & COMPANY LLC9R7GPTSO7KV3UQJZQ078

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
IHS MARKIT LTD
Title of issue.
CMBX.NA.BBB-.8
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
137BERAH0_SWAP_US
If other identifier provided, indicate the type of identifier used.
INTERNAL
Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Fixed rate.
3.00000000
Receipts: Base currency.
United States Dollar
Receipts: Amount.
N/A
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Description of Other Payments
Default Event

ii. Termination or maturity date.
2057-10-17
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-21630.93000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
500000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-43097.44000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 92

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Funding Mtg Sec I
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFMSI Series 2007-S6 Trust
d. CUSIP (if any).
762009AN8
At least one of the following other identifiers:
- ISIN
US762009AN82

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1204735.05000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
209520.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.119842841287

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.41562000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 93

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857363
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2422000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2422000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.38534966170

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12617463.77800000 United States Dollar 2992238.40300000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 94

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman Mortgage Trust 2007-5
d. CUSIP (if any).
52521RAS0
At least one of the following other identifiers:
- ISIN
US52521RAS04
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B1ZBBX4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2599368.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
229196.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.131097280086

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.41600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 95

Item C.1. Identification of investment.

a. Name of issuer (if any).
Provident Bank Home Equity Loa
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Provident Home Equity Loan Trust 2000-2
d. CUSIP (if any).
743844DA7
At least one of the following other identifiers:
- ISIN
US743844DA75

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
679560.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
625461.09000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.357754875905

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.62600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 96

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-2
d. CUSIP (if any).
12669GPR6
At least one of the following other identifiers:
- ISIN
US12669GPR64
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B5M6GV3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
51588.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
50952.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029143867378

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.72600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 97

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2016-1
d. CUSIP (if any).
35563PAG4
At least one of the following other identifiers:
- ISIN
US35563PAG46

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
24857434.45000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2695751.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.541931627113

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.35328300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 98

Item C.1. Identification of investment.

a. Name of issuer (if any).
Home Equity Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Home Equity Mortgage Trust 2006-1
d. CUSIP (if any).
225470XL2
At least one of the following other identifiers:
- ISIN
US225470XL28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3196171.65000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.828164869566

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 99

Item C.1. Identification of investment.

a. Name of issuer (if any).
Adjustable Rate Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Adjustable Rate Mortgage Trust 2005-5
d. CUSIP (if any).
007036LG9
At least one of the following other identifiers:
- ISIN
US007036LG93
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B14TBZ1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
96852.63000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
88373.28000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.050548263233

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.84315900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 100

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2017-RPL1 Trust
d. CUSIP (if any).
22945AAG4
At least one of the following other identifiers:
- ISIN
US22945AAG40

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2977486.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2277937.28000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.302947828340

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.99796000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 101

Item C.1. Identification of investment.

a. Name of issuer (if any).
First Horizon Alternative Mort
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
First Horizon Alternative Mortgage Securities Trust 2006-FA6
d. CUSIP (if any).
32052FAH9
At least one of the following other identifiers:
- ISIN
US32052FAH91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
76474.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
41204.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.023568103823

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 102

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bayview Financial Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bayview Financial Asset Trust 2007-SSR1
d. CUSIP (if any).
07325QAB1
At least one of the following other identifiers:
- ISIN
US07325QAB14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1724557.61000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1630615.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.932689107844

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.88600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 103

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Series 2015-2R
d. CUSIP (if any).
12649QBE3
At least one of the following other identifiers:
- ISIN
US12649QBE35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3443838.74000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3072668.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.757522727234

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-27
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.32357000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 104

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857200
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-839000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-839000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.47989610494

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14655177.64000000 United States Dollar 7322209.65800000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 105

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G0PS2
At least one of the following other identifiers:
- ISIN
US3137G0PS26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1771321.10000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2052797.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.174171260611

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 106

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP869948
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-927000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-927000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.53023085730

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87930000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13363639.13600000 United States Dollar 1717410.01100000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 107

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR Adjustable Rate Mortgage
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR Adjustable Rate Mortgages Trust 2004-12
d. CUSIP (if any).
576433UC8
At least one of the following other identifiers:
- ISIN
US576433UC81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
42005.26000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44050.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.025196433062

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.65591600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 108

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857360
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1238000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1238000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.70811844805

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12813748.50700000 United States Dollar 3789463.44600000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 109

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Adjustable Rate Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Adjustable Rate Mortgage Loan Trust Series 2005-4
d. CUSIP (if any).
863579MP0
At least one of the following other identifiers:
- ISIN
US863579MP09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120421.88000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
108164.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.061868343125

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.57370000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 110

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-11
d. CUSIP (if any).
12669GUX7
At least one of the following other identifiers:
- ISIN
US12669GUX77
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD6CQW4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
37719.63000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
30957.85000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017707451290

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.68600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 111

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bombardier Capital Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCMSC Trust 1999-A
d. CUSIP (if any).
09774XAU6
At least one of the following other identifiers:
- ISIN
US09774XAU63

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
91460.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
92039.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.052645414932

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-03-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.98000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 112

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU Mortgage Pass-Through Cer
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WaMu Mortgage Pass-Through Certificates Series 2005-AR15 Trust
d. CUSIP (if any).
92922F6C7
At least one of the following other identifiers:
- ISIN
US92922F6C79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
584772.35000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
327787.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.187489585385

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.88600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 113

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857361
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3179000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3179000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.81834292922

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13530000.00000000 United States Dollar 4114063.21000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 114

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
54930023UHZHF7UJ8596
c. Title of the issue or description of the investment.
Banc of America Funding Corp
d. CUSIP (if any).
05990QAE3
At least one of the following other identifiers:
- ISIN
US05990QAE35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2632184.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2299936.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.315531207559

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-27
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.21438000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 115

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-11
d. CUSIP (if any).
12669GUP4
At least one of the following other identifiers:
- ISIN
US12669GUP44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
263402.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
218034.01000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.124712362508

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-04-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.51831000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 116

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XCR3
At least one of the following other identifiers:
- ISIN
US30711XCR35
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD9Y810
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1654419.94000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1918934.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.097603453836

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 117

Item C.1. Identification of investment.

a. Name of issuer (if any).
Adjustable Rate Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Adjustable Rate Mortgage Trust 2005-12
d. CUSIP (if any).
2254W0MM4
At least one of the following other identifiers:
- ISIN
US2254W0MM42
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8X9C81
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
217472.34000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
106733.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.061050077368

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 118

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP870165
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-876000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-876000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.50105958037

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87930000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11200000.00000000 United States Dollar 1291275.12000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 119

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Series 2010-18R
d. CUSIP (if any).
22944JEZ0
At least one of the following other identifiers:
- ISIN
US22944JEZ03
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3QFQ34
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
81270.45000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
85474.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.048889961937

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-28
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.22142000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 120

Item C.1. Identification of investment.

a. Name of issuer (if any).
Nomura Resecuritization Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Nomura Resecuritization Trust 2015-4R
d. CUSIP (if any).
65540WCA5
At least one of the following other identifiers:
- ISIN
US65540WCA53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
816392.49000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
825218.67000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.472013379570

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-26
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.06801800
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 121

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citigroup Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Citigroup Mortgage Loan Trust 2008-3
d. CUSIP (if any).
17314TAC5
At least one of the following other identifiers:
- ISIN
US17314TAC53
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B5P3XN2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5476436.08000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2757328.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.577152557861

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-04-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.10000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 122

Item C.1. Identification of investment.

a. Name of issuer (if any).
GSMPS Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GSMPS Mortgage Loan Trust 2005-RP1
d. CUSIP (if any).
36242DXL2
At least one of the following other identifiers:
- ISIN
US36242DXL27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
46417.30000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
53335.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.030507058309

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 123

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
d. CUSIP (if any).
46652DAQ8
At least one of the following other identifiers:
- ISIN
US46652DAQ88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1520000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1299278.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.743168892711

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.83400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 124

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2007-3T1
d. CUSIP (if any).
02149VAU3
At least one of the following other identifiers:
- ISIN
US02149VAU35
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ0BRG2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
26974.57000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
27049.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.015471713146

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-03-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 125

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XDY7
At least one of the following other identifiers:
- ISIN
US30711XDY76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3510389.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3880055.68000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.219336838851

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
9.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 126

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
d. CUSIP (if any).
46652BAU3
At least one of the following other identifiers:
- ISIN
US46652BAU35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
646000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
621613.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.355554143294

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.08463000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 127

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2019-RIO
d. CUSIP (if any).
12597HAC0
At least one of the following other identifiers:
- ISIN
US12597HAC07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2900824.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.659230487097

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2021-12-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 128

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857516
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-3503000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-3503000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.00366633565

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14511429.37800000 United States Dollar 5199931.56700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 129

Item C.1. Identification of investment.

a. Name of issuer (if any).
Loanpal Solar Loan Ltd.
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Loanpal Solar Loan 2021-1 Ltd
d. CUSIP (if any).
53948PAC2
At least one of the following other identifiers:
- ISIN
US53948PAC23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
984368.40000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.563044768759

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-01-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 130

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Adjustable Rate Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Adjustable Rate Mortgage Loan Trust Series 2005-4
d. CUSIP (if any).
863579MX3
At least one of the following other identifiers:
- ISIN
US863579MX33

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
30483.50000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
31303.05000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.017904900796

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.31465700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 131

Item C.1. Identification of investment.

a. Name of issuer (if any).
NewRez Warehouse Securitizatio
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
NewRez Warehouse Securitization Trust 2021-1
d. CUSIP (if any).
65246PAF8
At least one of the following other identifiers:
- ISIN
US65246PAF80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2460000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2468335.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.411852887900

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 132

Item C.1. Identification of investment.

a. Name of issuer (if any).
Natixis Commercial Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Natixis Commercial Mortgage Securities Trust 2019-FAME
d. CUSIP (if any).
63873VAN3
At least one of the following other identifiers:
- ISIN
US63873VAN38

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
950000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
829271.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.474331723906

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.54408300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 133

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G1DQ7
At least one of the following other identifiers:
- ISIN
US3137G1DQ70

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4102737.71000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4073997.62000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.330268878888

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2048-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.50018400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 134

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bear Stearns Alt-A Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bear Stearns ALT-A Trust 2005-9
d. CUSIP (if any).
07386HYF2
At least one of the following other identifiers:
- ISIN
US07386HYF27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
208695.46000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
169154.83000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.096754164540

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.67576600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 135

Item C.1. Identification of investment.

a. Name of issuer (if any).
Western Asset Premier Institutional Government Reserves
b. LEI (if any) of issuer. (1)
549300WB3XRN9YTWFB76
c. Title of the issue or description of the investment.
Western Asset Premier Institutional Government Reserves
d. CUSIP (if any).
52470G494
At least one of the following other identifiers:
- ISIN
US52470G4947
- Ticker (if ISIN is not available).
WACXX

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8579203.05000000
b. Units
Number of shares
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8579203.05000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
4.907182511580

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle)
b. Issuer type. (7)
Registered fund

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 136

Item C.1. Identification of investment.

a. Name of issuer (if any).
Natixis Commercial Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Natixis Commercial Mortgage Securities Trust 2019-TRUE
d. CUSIP (if any).
63874DAA0
At least one of the following other identifiers:
- ISIN
US63874DAA00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1280000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1268341.76000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.725473504602

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-04-18
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.51050000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 137

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
549300D2VO9JVX6KU482
c. Title of the issue or description of the investment.
STACR Trust 2018-HRP1
d. CUSIP (if any).
3137G0VB2
At least one of the following other identifiers:
- ISIN
US3137G0VB27

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5527434.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6411247.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
3.667142444721

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2043-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 138

Item C.1. Identification of investment.

a. Name of issuer (if any).
KIND Trust 2021-KIND
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
KIND Trust 2021-KIND
d. CUSIP (if any).
482606AS9
At least one of the following other identifiers:
- ISIN
US482606AS97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1810000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1818076.58000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.039914027689

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.03400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 139

Item C.1. Identification of investment.

a. Name of issuer (if any).
Tharaldson Hotel Portfolio Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Tharaldson Hotel Portfolio Trust 2018-THPT
d. CUSIP (if any).
88327HAN3
At least one of the following other identifiers:
- ISIN
US88327HAN35

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1012600.33000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1009503.90000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.577421918397

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-11-11
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.41300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 140

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2005-AR15
d. CUSIP (if any).
45660LVM8
At least one of the following other identifiers:
- ISIN
US45660LVM89
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BPFJQB9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
44585.51000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
42515.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.024318280389

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.91237000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 141

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bayview Financial Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bayview Financial Asset Trust 2007-SSR1
d. CUSIP (if any).
07325QAC9
At least one of the following other identifiers:
- ISIN
US07325QAC96

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2099580.43000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2005194.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.146942613400

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.98600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 142

Item C.1. Identification of investment.

a. Name of issuer (if any).
Radnor Re LTD
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Radnor RE 2021-1 Ltd
d. CUSIP (if any).
75279YAC5
At least one of the following other identifiers:
- ISIN
US75279YAC57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1225000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1227885.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.702333372010

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2033-12-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 143

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Funding Mtg Sec I
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFMSI Series 2006-S8 Trust
d. CUSIP (if any).
74957XAM7
At least one of the following other identifiers:
- ISIN
US74957XAM74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2533513.40000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
334845.09000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.191526644160

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.31400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 144

Item C.1. Identification of investment.

a. Name of issuer (if any).
Multifamily Connecticut Avenue
b. LEI (if any) of issuer. (1)
549300HG8ZEWVWVSN227
c. Title of the issue or description of the investment.
Multifamily Connecticut Avenue Securities Trust 2019-01
d. CUSIP (if any).
62547NAD1
At least one of the following other identifiers:
- ISIN
US62547NAD12

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2708192.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.549047714168

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-10-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
8.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 145

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
549300R847L762RQF071
c. Title of the issue or description of the investment.
Banc of America Funding 2015-R4 Trust
d. CUSIP (if any).
05990RAM3
At least one of the following other identifiers:
- ISIN
US05990RAM34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13402071.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4958123.14000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.835976141498

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-01-27
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
8.30142700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 146

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857359
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2338000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2338000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.33730285263

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#126217056.84000000 United States Dollar 3261859.29100000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 147

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-NNN
d. CUSIP (if any).
46652BAS8
At least one of the following other identifiers:
- ISIN
US46652BAS88

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
646000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
630780.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.360797354292

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-16
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.08463000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 148

Item C.1. Identification of investment.

a. Name of issuer (if any).
MORGAN STANLEY & COMPANY LLC
b. LEI (if any) of issuer. (1)
9R7GPTSO7KV3UQJZQ078
c. Title of the issue or description of the investment.
CDS CMBX.NA.BBB-.12
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WP297211
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
22938.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.013120267991

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-credit
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1MORGAN STANLEY & COMPANY LLC9R7GPTSO7KV3UQJZQ078

3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
IHS MARKIT LTD
Title of issue.
CMBX.NA.BBB-.12
At least one of the following other identifiers:
- CUSIP.
000000000
- Other identifier (if CUSIP, ISIN, and ticker are not available).
137BERAL1_SWAP_US
If other identifier provided, indicate the type of identifier used.
INTERNAL
Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Description of Other Receipts
Default Event
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
3.00000000
Payments: Base currency
United States Dollar
Payments: Amount
N/A

ii. Termination or maturity date.
2061-08-17
iii. Upfront payments or receipts
Upfront payments.
40624.97000000
ISO Currency Code.
United States Dollar
Upfront receipts.
0.00000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
-500000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
-17686.87000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 149

Item C.1. Identification of investment.

a. Name of issuer (if any).
SOHO Trust 2021-SOHO
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Soho Trust 2021-SOHO
d. CUSIP (if any).
83410JAJ7
At least one of the following other identifiers:
- ISIN
US83410JAJ79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1354019.70000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.774480071569

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.78647500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 150

Item C.1. Identification of investment.

a. Name of issuer (if any).
Deutsche Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
d. CUSIP (if any).
25157GAW2
At least one of the following other identifiers:
- ISIN
US25157GAW24

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
154093.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
44488.18000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.025446608221

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
15.80241000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 151

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Connecticut Avenue Securities Trust 2020-R01
d. CUSIP (if any).
20754CAF6
At least one of the following other identifiers:
- ISIN
US20754CAF68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1510311.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.863876908314

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 152

Item C.1. Identification of investment.

a. Name of issuer (if any).
Washington Mutual Mortgage Pas
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust
d. CUSIP (if any).
93934FGB2
At least one of the following other identifiers:
- ISIN
US93934FGB22
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8Y4D26
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
89953.94000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
81351.71000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.046532024743

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.98600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 153

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857651
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1286000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1286000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.73557376752

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1441703047.60000000 United States Dollar 2539529.84600000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 154

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Funding Mtg Sec I
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RFMSI Series 2007-S6 Trust
d. CUSIP (if any).
762009AF5
At least one of the following other identifiers:
- ISIN
US762009AF58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1204735.05000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
966675.07000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.552924434849

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58438000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 155

Item C.1. Identification of investment.

a. Name of issuer (if any).
SMB Private Education Loan Tru
b. LEI (if any) of issuer. (1)
549300XC4C7GRVLU6076
c. Title of the issue or description of the investment.
SMB Private Education Loan Trust 2014-A
d. CUSIP (if any).
784456105
At least one of the following other identifiers:
- ISIN
US7844561057

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6875.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
903654.11000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.516877339219

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-09-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 156

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857513
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1139000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1139000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.65149185164

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11753541.63300000 United States Dollar 1932134.06500000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 157

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7
d. CUSIP (if any).
46628FAN1
At least one of the following other identifiers:
- ISIN
US46628FAN15
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3V8ZH5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
8754.48000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
8451.05000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.004833880783

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-04-17
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.08824900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 158

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2007-23CB
d. CUSIP (if any).
02151EAS1
At least one of the following other identifiers:
- ISIN
US02151EAS19
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BZ0BRN9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
426025.38000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
542874.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.310516328554

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
28.05600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 159

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12
d. CUSIP (if any).
46632HAL5
At least one of the following other identifiers:
- ISIN
US46632HAL50
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B422N68
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
73815.48000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
68112.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.038959595958

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-02-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.71663100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 160

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857648
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-585000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-585000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.33461170606

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#1926503.04040000 United States Dollar 3875491.74200000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 161

Item C.1. Identification of investment.

a. Name of issuer (if any).
CHICAGO MERCANTILE EXCHANGE INC.
b. LEI (if any) of issuer. (1)
SNZ2OJLFK8MNNCLQOF39
c. Title of the issue or description of the investment.
IRS USD
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
SW0WS053223
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12228.05000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.006994271234

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Swap
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1CHICAGO MERCANTILE EXCHANGE INC.SNZ2OJLFK8MNNCLQOF39

Custom swap Flag Yes No

1. Description and terms of payments to be received from another party.
Receipts: Reference Asset, Instrument or Index.
Receipts: fixed, floating or other. Fixed Floating Other
Receipts: Floating rate Index.
THE SECURED OVERNIGHT FINANCING RATE
Receipts: Floating rate Spread.
0.00000000
Receipt: Floating Rate Reset Dates.
Day
Receipt: Floating Rate Reset Dates Unit.
1
Receipts: Floating Rate Tenor.
Day
Receipts: Floating Rate Tenor Unit.
0
Receipts: Base currency.
United States Dollar
Receipts: Amount.
840000.00000000
2. Description and terms of payments to be paid to another party.
Payments: Reference Asset, Instrument or Index.
Payments: fixed, floating or other. Fixed Floating Other
Payments: Fixed rate.
1.52000000
Payments: Base currency
United States Dollar
Payments: Amount
N/A

ii. Termination or maturity date.
2047-02-15
iii. Upfront payments or receipts
Upfront payments.
0.00000000
ISO Currency Code.
United States Dollar
Upfront receipts.
-29811.62000000
ISO Currency Code.
United States Dollar
iv. Notional amount.
-840000.00000000
ISO Currency Code.
USD
v. Unrealized appreciation or depreciation. (24)
42039.67000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 162

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2017-2
d. CUSIP (if any).
35563PBK4
At least one of the following other identifiers:
- ISIN
US35563PBK49

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11257220.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3976484.80000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.274492928352

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2056-08-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 163

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2020-1
d. CUSIP (if any).
35563PPP8
At least one of the following other identifiers:
- ISIN
US35563PPP89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4074461.15000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2563262.25000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.466149665940

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2059-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.87919700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 164

Item C.1. Identification of investment.

a. Name of issuer (if any).
HSI Asset Loan Obligation
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HSI Asset Loan Obligation Trust 2007-AR1
d. CUSIP (if any).
40431LAF5
At least one of the following other identifiers:
- ISIN
US40431LAF58

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
97952.54000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
90769.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.051919141654

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.05366700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 165

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857650
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1889000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1889000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.08048121840

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13052442.00000000 United States Dollar 2945868.89000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 166

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2019-2
d. CUSIP (if any).
35563PKR9
At least one of the following other identifiers:
- ISIN
US35563PKR90

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
681000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
721611.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.412751587276

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2058-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 167

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Mortgage Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley Mortgage Loan Trust 2007-5AX
d. CUSIP (if any).
61751GAD9
At least one of the following other identifiers:
- ISIN
US61751GAD97
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B5N0SL8
Description of other unique identifier.
Sedol

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1568459.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
582413.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.333132053104

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.54600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 168

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Mortgage Pro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RAMP Series 2005-SL2 Trust
d. CUSIP (if any).
76112BUZ1
At least one of the following other identifiers:
- ISIN
US76112BUZ11

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
297768.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
199861.35000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.114317858633

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2031-10-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 169

Item C.1. Identification of investment.

a. Name of issuer (if any).
Renaissance Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Renaissance Home Equity Loan Trust 2007-2
d. CUSIP (if any).
75970QAE0
At least one of the following other identifiers:
- ISIN
US75970QAE08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
445054.35000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
182247.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.104242700164

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.67500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 170

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857246
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-678000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-678000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.38780638754

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11299117.82700000 United States Dollar 18057490.31000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 171

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CBOT 5 Year US Treasury Note
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
FVZ1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00ZSDW2H5
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-39.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
26713.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.015279823343

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Short
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
United States Treasury Note/Bond
At least one of the following other identifiers:
- CUSIP.
91282CBQ3
- ISIN (if CUSIP is not available).
US91282CBQ33
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BLKH0X0
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-12-31
iv. Aggregate notional amount or contract value on trade date.
-4813659.05000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
26713.64000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 172

Item C.1. Identification of investment.

a. Name of issuer (if any).
Loanpal Solar Loan 2020-3 Ltd
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Loanpal Solar Loan Ltd
d. CUSIP (if any).
53948NAC7
At least one of the following other identifiers:
- ISIN
US53948NAC74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
830000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
816235.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.466874962095

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-12-20
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 173

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Series 2014-11R
d. CUSIP (if any).
12649FCL0
At least one of the following other identifiers:
- ISIN
US12649FCL04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3706656.01000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3241431.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.854052587534

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-10-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.36438000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 174

Item C.1. Identification of investment.

a. Name of issuer (if any).
First Horizon Alternative Mort
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
First Horizon Alternative Mortgage Securities Trust 2005-AA6
d. CUSIP (if any).
32051GQA6
At least one of the following other identifiers:
- ISIN
US32051GQA66
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYT4PS3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
356817.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
338289.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.193496826445

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.80809300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 175

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bayview Financial Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bayview Financial Asset Trust 2007-SSR1
d. CUSIP (if any).
07325QAD7
At least one of the following other identifiers:
- ISIN
US07325QAD79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
951244.08000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
940586.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.538002039727

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.23600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 176

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Banc of America Funding 2006-D Trust
d. CUSIP (if any).
058933AE2
At least one of the following other identifiers:
- ISIN
US058933AE20

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
33539.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
33422.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.019117104629

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.49901000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 177

Item C.1. Identification of investment.

a. Name of issuer (if any).
Washington Mutual Mortgage Pas
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust
d. CUSIP (if any).
93934FFE7
At least one of the following other identifiers:
- ISIN
US93934FFE79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
46869.02000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
87794.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.050217117761

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
35.30266700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 178

Item C.1. Identification of investment.

a. Name of issuer (if any).
Morgan Stanley Mortgage Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Morgan Stanley Mortgage Loan Trust 2006-8AR
d. CUSIP (if any).
61749LAB7
At least one of the following other identifiers:
- ISIN
US61749LAB71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
209641.76000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
61420.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.035131620881

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.22600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 179

Item C.1. Identification of investment.

a. Name of issuer (if any).
Extended Stay America Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Extended Stay America Trust 2021-ESH
d. CUSIP (if any).
30227FAN0
At least one of the following other identifiers:
- ISIN
US30227FAN06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2357734.10000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2392966.19000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.368742734020

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.78400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 180

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-HY10
d. CUSIP (if any).
126694VH8
At least one of the following other identifiers:
- ISIN
US126694VH83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
32893.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
28752.56000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.016446056675

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.07458400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 181

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857197
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-840000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-840000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.48046809076

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11029407.09000000 United States Dollar 1228856.46600000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 182

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse First Boston Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10
d. CUSIP (if any).
225470DY6
At least one of the following other identifiers:
- ISIN
US225470DY68

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
261374.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
189741.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.108529487948

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
5.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 183

Item C.1. Identification of investment.

a. Name of issuer (if any).
BSREP Commercial Mortgage Trus
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BSREP Commercial Mortgage Trust 2021-DC
d. CUSIP (if any).
05591UAQ0
At least one of the following other identifiers:
- ISIN
US05591UAQ04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3536000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3544822.32000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.027588109756

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-08-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.58400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 184

Item C.1. Identification of investment.

a. Name of issuer (if any).
Starwood Retail Property Trust
b. LEI (if any) of issuer. (1)
5493007115G809OI4R97
c. Title of the issue or description of the investment.
Starwood Retail Property Trust 2014-STAR
d. CUSIP (if any).
85571XAQ0
At least one of the following other identifiers:
- ISIN
US85571XAQ07

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
10.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000005719858

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2027-11-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.58380000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 185

Item C.1. Identification of investment.

a. Name of issuer (if any).
Deutsche Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
d. CUSIP (if any).
25157GAE2
At least one of the following other identifiers:
- ISIN
US25157GAE26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
21031.60000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
16872.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.009650682071

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 186

Item C.1. Identification of investment.

a. Name of issuer (if any).
CVS PASS-THROUGH TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CVS Pass-Through Trust
d. CUSIP (if any).
336249AC1
At least one of the following other identifiers:
- ISIN
US336249AC13
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B85K8W8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
479443.58000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
509140.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.291221056061

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-01-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.35000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 187

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit-Based Asset Servicing a
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Credit-Based Asset Servicing and Securitization LLC
d. CUSIP (if any).
14983AAC3
At least one of the following other identifiers:
- ISIN
US14983AAC36

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3596991.53000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
232646.58000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.133070545376

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.52600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 188

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G1CG0
At least one of the following other identifiers:
- ISIN
US3137G1CG08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
818081.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
800635.53000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.457952172022

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.03921400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 189

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Trust 2017-CHOP
d. CUSIP (if any).
12651QAU3
At least one of the following other identifiers:
- ISIN
US12651QAU31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2365023.54000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.352759934381

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2032-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.68400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 190

Item C.1. Identification of investment.

a. Name of issuer (if any).
BCAP LLC Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCAP LLC 2011-RR2 Trust
d. CUSIP (if any).
05533TAD3
At least one of the following other identifiers:
- ISIN
US05533TAD37
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3V26P2
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2630535.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1521872.87000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.870489705044

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-26
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.90755000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 191

Item C.1. Identification of investment.

a. Name of issuer (if any).
MULTIFAMILY CONNECTICUT AVENUE
b. LEI (if any) of issuer. (1)
5493002KQF9IH3CTQZ40
c. Title of the issue or description of the investment.
Multifamily Connecticut Avenue Securities Trust 2020-01
d. CUSIP (if any).
62548QAF8
At least one of the following other identifiers:
- ISIN
US62548QAF81

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1656113.10000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.947273213392

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2050-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 192

Item C.1. Identification of investment.

a. Name of issuer (if any).
Applebees/IHOP Funding LLC
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Applebee's Funding LLC / IHOP Funding LLC
d. CUSIP (if any).
03789XAE8
At least one of the following other identifiers:
- ISIN
US03789XAE85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1980000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2087879.11000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.194237249680

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-06-07
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.72300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 193

Item C.1. Identification of investment.

a. Name of issuer (if any).
MBRT 2019 MBR
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MBRT 2019-MBR
d. CUSIP (if any).
55282DBE3
At least one of the following other identifiers:
- ISIN
US55282DBE31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1998533.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.143132655876

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.08400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 194

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2021-NQM6
d. CUSIP (if any).
12662KAF6
At least one of the following other identifiers:
- ISIN
US12662KAF66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1370000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1369974.79000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.783606156843

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2066-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.14000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 195

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2005-11CB
d. CUSIP (if any).
12667GJT1
At least one of the following other identifiers:
- ISIN
US12667GJT13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1174541.39000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
158606.43000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.090720629292

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.91400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 196

Item C.1. Identification of investment.

a. Name of issuer (if any).
UBS-Barclays Commercial Mortga
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UBS-Barclays Commercial Mortgage Trust 2012-C2
d. CUSIP (if any).
90269CAZ3
At least one of the following other identifiers:
- ISIN
US90269CAZ32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3149979.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
19696.82000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.011266301785

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2063-05-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 197

Item C.1. Identification of investment.

a. Name of issuer (if any).
Greenwich Capital Acceptance I
b. LEI (if any) of issuer. (1)
213800OU9AJE7513ME91
c. Title of the issue or description of the investment.
RBS Acceptance Inc
d. CUSIP (if any).
396782EG5
At least one of the following other identifiers:
- ISIN
US396782EG53

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2191561.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
394.48000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000225636967

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2020-08-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
9.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 198

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2007-OA8
d. CUSIP (if any).
02148GAA1
At least one of the following other identifiers:
- ISIN
US02148GAA13
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BQRJPT5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
988683.41000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
881640.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.504285940759

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-06-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.44600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 199

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bombardier Capital Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
BCMSC Trust 1998-B
d. CUSIP (if any).
09774XAJ1
At least one of the following other identifiers:
- ISIN
US09774XAJ19

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
318637.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
330080.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.188801417709

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-10-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.53000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 200

Item C.1. Identification of investment.

a. Name of issuer (if any).
Thrust Engine Leasing
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Thrust Engine Leasing 2021 DAC
d. CUSIP (if any).
88603UAA7
At least one of the following other identifiers:
- ISIN
US88603UAA79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1691453.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1674546.69000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.957816965527

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2040-07-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.16300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 201

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XCH5
At least one of the following other identifiers:
- ISIN
US30711XCH52

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2338301.84000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2729835.52000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.561427214761

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
12.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 202

Item C.1. Identification of investment.

a. Name of issuer (if any).
J.P. Morgan Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Alternative Loan Trust 2007-A1
d. CUSIP (if any).
466287AR0
At least one of the following other identifiers:
- ISIN
US466287AR06

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
233307.80000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
243990.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.139559387058

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.32321500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 203

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XBQ6
At least one of the following other identifiers:
- ISIN
US30711XBQ60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1865424.65000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2117026.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.210908880405

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 204

Item C.1. Identification of investment.

a. Name of issuer (if any).
American Home Mortgage Investm
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
American Home Mortgage Investment Trust 2007-2
d. CUSIP (if any).
02660CAH3
At least one of the following other identifiers:
- ISIN
US02660CAH34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12735444.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
426386.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.243887038557

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.88600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 205

Item C.1. Identification of investment.

a. Name of issuer (if any).
Natixis Commercial Mortgage Se
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Natixis Commercial Mortgage Securities Trust 2019-FAME
d. CUSIP (if any).
63873VAL7
At least one of the following other identifiers:
- ISIN
US63873VAL71

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1900000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1753923.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.003219341150

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-08-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.54408300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 206

Item C.1. Identification of investment.

a. Name of issuer (if any).
Deutsche Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
d. CUSIP (if any).
25157GBJ0
At least one of the following other identifiers:
- ISIN
US25157GBJ04

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
63407.72000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
20552.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.011756007446

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
10.73891000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 207

Item C.1. Identification of investment.

a. Name of issuer (if any).
Deutsche Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Deutsche Mortgage Securities Inc Mortgage Loan Trust Series 2006-PR1
d. CUSIP (if any).
25157GCA8
At least one of the following other identifiers:
- ISIN
US25157GCA85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
228799.90000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
53552.24000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.030631122034

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
7.43168600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 208

Item C.1. Identification of investment.

a. Name of issuer (if any).
FARM 2021-1 MORTGAGE TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
FARMER MAC AGRICULTURAL REAL ESTATE TRUST 1992-A
d. CUSIP (if any).
30768WAC2
At least one of the following other identifiers:
- ISIN
US30768WAC29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1400000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1214500.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.694676781232

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2051-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.25350000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 209

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman XS Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman XS Trust 2006-19
d. CUSIP (if any).
52523YAD6
At least one of the following other identifiers:
- ISIN
US52523YAD67
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B7ZB3D0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
465514.09000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
429860.41000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.245874060105

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.42600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 210

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman Mortgage Trust 2006-7
d. CUSIP (if any).
52520QAC8
At least one of the following other identifiers:
- ISIN
US52520QAC87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3862194.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
786189.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.449689470747

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.26400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 211

Item C.1. Identification of investment.

a. Name of issuer (if any).
Structured Asset Investment Lo
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Structured Asset Investment Loan Trust 2004-8
d. CUSIP (if any).
86358EMH6
At least one of the following other identifiers:
- ISIN
US86358EMH61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
297405.43000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
329992.44000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.188750997159

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 212

Item C.1. Identification of investment.

a. Name of issuer (if any).
MASTR Reperforming Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MASTR Reperforming Loan Trust 2005-1
d. CUSIP (if any).
576436AU3
At least one of the following other identifiers:
- ISIN
US576436AU31

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
49846.42000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
45288.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.025904431393

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-08-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
7.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 213

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857522
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-4994000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-4994000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-2.85649719676

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15538384.81500000 United States Dollar 6667696.98400000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 214

Item C.1. Identification of investment.

a. Name of issuer (if any).
Impac CMB Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Impac CMB Trust Series 2004-8
d. CUSIP (if any).
45254NKQ9
At least one of the following other identifiers:
- ISIN
US45254NKQ96
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B033771
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
128041.96000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
126193.42000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.072180847112

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.80600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 215

Item C.1. Identification of investment.

a. Name of issuer (if any).
GMAC Commercial Mortgage Secur
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust
d. CUSIP (if any).
361849R46
At least one of the following other identifiers:
- ISIN
US361849R467
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B108CZ9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11302.68000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
11008.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.006296494290

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-11-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.34900000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 216

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2018-3
d. CUSIP (if any).
35563PGW3
At least one of the following other identifiers:
- ISIN
US35563PGW32

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3364140.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1651355.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.944552093800

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.01000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 217

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2020-MKST
d. CUSIP (if any).
46652DAN5
At least one of the following other identifiers:
- ISIN
US46652DAN57

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1520000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1358253.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.776901630747

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
4.33400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 218

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Accredit Loans, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RALI Series 2006-QA1 Trust
d. CUSIP (if any).
761118SZ2
At least one of the following other identifiers:
- ISIN
US761118SZ21
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B58ZFV7
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
271973.70000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
237373.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.135774282319

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.00773000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 219

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Asset-Backed Certi
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Countrywide Asset-Backed Certificates
d. CUSIP (if any).
23248AAA9
At least one of the following other identifiers:
- ISIN
US23248AAA97

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
348557.37000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
310703.20000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.177717825355

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2047-05-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.63600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 220

Item C.1. Identification of investment.

a. Name of issuer (if any).
Popular ABS Mortgage Pass-Thro
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Popular ABS Mortgage Pass-Through Trust 2005-5
d. CUSIP (if any).
73316PGW4
At least one of the following other identifiers:
- ISIN
US73316PGW41

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2120397.18000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2015068.78000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.152590773200

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.71600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 221

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2005-14
d. CUSIP (if any).
12667GCF8
At least one of the following other identifiers:
- ISIN
US12667GCF81
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B6QZFZ0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
146536.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
111246.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.063631226309

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.39286500
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 222

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Freddie Mac STACR REMIC Trust 2021-DNA5
d. CUSIP (if any).
35564KJB6
At least one of the following other identifiers:
- ISIN
US35564KJB61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1200000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1291275.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.738591061381

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.55000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 223

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857515
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2811000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2811000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.60785214659

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#14103543.77400000 United States Dollar 3889717.22400000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 224

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2016-1
d. CUSIP (if any).
35563PAF6
At least one of the following other identifiers:
- ISIN
US35563PAF62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
12115892.47000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5037270.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.881247446570

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2055-09-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 225

Item C.1. Identification of investment.

a. Name of issuer (if any).
Adjustable Rate Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Adjustable Rate Mortgage Trust 2005-7
d. CUSIP (if any).
007036MT0
At least one of the following other identifiers:
- ISIN
US007036MT06
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD60GT5
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
191515.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
178376.39000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.102028766120

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.57741100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 226

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CWABS Revolving Home Equity Loan Trust Series 2004-L
d. CUSIP (if any).
126673KQ4
At least one of the following other identifiers:
- ISIN
US126673KQ49
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B036ZT8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
39100.89000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
37655.41000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.021538360654

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-02-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.36375000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 227

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2017-RPL1 Trust
d. CUSIP (if any).
22945AAH2
At least one of the following other identifiers:
- ISIN
US22945AAH23

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3171542.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
621368.66000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.355414063966

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.99796000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 228

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman Mortgage Trust 2006-3
d. CUSIP (if any).
52520CAK1
At least one of the following other identifiers:
- ISIN
US52520CAK18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4528151.28000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1104405.68000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.631704391072

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.31400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 229

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2006-AR9
d. CUSIP (if any).
45661EGK4
At least one of the following other identifiers:
- ISIN
US45661EGK47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
235587.59000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
236483.81000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.135265386533

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-06-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.94830100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 230

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Chase Commercial Mor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19
d. CUSIP (if any).
46630VAL6
At least one of the following other identifiers:
- ISIN
US46630VAL62
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BYYFVG1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
67945.45000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
76927.54000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.044001462227

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-02-12
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.26134900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 231

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP870166
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1054000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1054000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.60287305674

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87930000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11500000.00000000 United States Dollar 1510311.75000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 232

Item C.1. Identification of investment.

a. Name of issuer (if any).
Motel 6 Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Motel Trust 2021-MTL6
d. CUSIP (if any).
61977KAS5
At least one of the following other identifiers:
- ISIN
US61977KAS50

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1010000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1018333.31000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.582472215737

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-09-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.10000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 233

Item C.1. Identification of investment.

a. Name of issuer (if any).
Lehman Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Lehman Mortgage Trust 2006-7
d. CUSIP (if any).
52520QAY0
At least one of the following other identifiers:
- ISIN
US52520QAY08

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
5059104.73000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1444893.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.826458573912

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-11-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
7.06400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 234

Item C.1. Identification of investment.

a. Name of issuer (if any).
New Residential Mortgage Loan
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
New Residential Mortgage Loan Trust 2019-6
d. CUSIP (if any).
64828GAH3
At least one of the following other identifiers:
- ISIN
US64828GAH39

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
31155819.19000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
478290.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.273575167605

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2059-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 235

Item C.1. Identification of investment.

a. Name of issuer (if any).
AFC Home Equity Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
AFC Trust Series 2000-3
d. CUSIP (if any).
00105HEL6
At least one of the following other identifiers:
- ISIN
US00105HEL69

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
675419.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
653279.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.373666531947

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2030-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.83600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 236

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citicorp Mortgage Securities,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Citicorp Mortgage Securities Trust Series 2007-8
d. CUSIP (if any).
17312DAL2
At least one of the following other identifiers:
- ISIN
US17312DAL29

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2723866.11000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1807814.41000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.034044211942

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.98076000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 237

Item C.1. Identification of investment.

a. Name of issuer (if any).
Aegis Asset Backed Securities
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Aegis Asset Backed Securities Trust 2005-3
d. CUSIP (if any).
00764MFT9
At least one of the following other identifiers:
- ISIN
US00764MFT99

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3460000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3223303.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.843683691465

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.82100000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 238

Item C.1. Identification of investment.

a. Name of issuer (if any).
UBS-Barclays Commercial Mortga
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
UBS-Barclays Commercial Mortgage Trust 2012-C2
d. CUSIP (if any).
90269CAX8
At least one of the following other identifiers:
- ISIN
US90269CAX83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3130000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
132821.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.075972043501

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2063-05-10
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 239

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2017-RPL1 Trust
d. CUSIP (if any).
22945AAE9
At least one of the following other identifiers:
- ISIN
US22945AAE91

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3052442.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2945868.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.684995239553

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.99796000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 240

Item C.1. Identification of investment.

a. Name of issuer (if any).
Renaissance Home Equity Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Renaissance Home Equity Loan Trust 2007-3
d. CUSIP (if any).
75971FAF0
At least one of the following other identifiers:
- ISIN
US75971FAF09
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B8FFRY8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1613817.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
947385.74000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.541891211567

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
7.23800000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 241

Item C.1. Identification of investment.

a. Name of issuer (if any).
New Residential Mortgage Loan
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
New Residential Mortgage Loan Trust 2017-4
d. CUSIP (if any).
64829NAJ3
At least one of the following other identifiers:
- ISIN
US64829NAJ37

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2253707.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2450725.73000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.401780372005

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
5.31458000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 242

Item C.1. Identification of investment.

a. Name of issuer (if any).
BOARD OF TRADE OF THE CITY OF CHICAGO, INC.
b. LEI (if any) of issuer. (1)
549300EX04Q2QBFQTQ27
c. Title of the issue or description of the investment.
CME ULTRA LONG TERM US TREASURY BOND
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Ticker (if ISIN is not available).
WNZ1
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BBG00ZMZ6F64
Description of other unique identifier.
ID_BB_GLOBAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
48.00000000
b. Units
Number of contracts
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-330433.38000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.18900320858

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Derivative-interest rate
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

a. Type of derivative instrument (21)
Future
b. Counterparty.
i. Provide the name and LEI (if any) of counterparty (including a central counterparty).

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1BOARD OF TRADE OF THE CITY OF CHICAGO, INC.549300EX04Q2QBFQTQ27

c. For futures and forwards (other than forward foreign currency contracts), provide:
i. Payoff profile, selected from among the following (long, short).
Long
ii. Description of reference instrument, as required by sub-Item C.11.c.iii.
3. The reference instrument is neither a derivative or an index (28)
Name of issuer.
US TREASURY N/B
Title of issue.
United States Treasury Note/Bond
At least one of the following other identifiers:
- CUSIP.
912810RV2
- ISIN (if CUSIP is not available).
US912810RV26
- Other identifier (if CUSIP, ISIN, and ticker are not available).
BDRJ2Q0
If other identifier provided, indicate the type of identifier used.
SEDOL
iii. Expiration date.
2021-12-21
iv. Aggregate notional amount or contract value on trade date.
9501433.38000000
ISO Currency Code.
United States Dollar
v. Unrealized appreciation or depreciation. (24)
-330433.38000000

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 243

Item C.1. Identification of investment.

a. Name of issuer (if any).
River Haus 2021
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
River Haus 2021
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
ZZZ161101
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1500000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1500000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.857978733510

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-08-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
0.00000100
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 244

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Banc of America Funding 2006-F Trust
d. CUSIP (if any).
05950HAA9
At least one of the following other identifiers:
- ISIN
US05950HAA95
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3L34P1
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
107193.79000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
111724.13000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.063904618373

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.59383300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 245

Item C.1. Identification of investment.

a. Name of issuer (if any).
Legacy Mortgage Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Legacy Mortgage Asset Trust 2021-GS3
d. CUSIP (if any).
52474XAB1
At least one of the following other identifiers:
- ISIN
US52474XAB10

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1640000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1640782.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.938504481980

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2061-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 246

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-HYB9
d. CUSIP (if any).
126670JP4
At least one of the following other identifiers:
- ISIN
US126670JP46
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD0DLH3
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
93588.15000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
90321.17000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.051662428697

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-20
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.98700000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 247

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857451
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1355000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1355000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.77504078927

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11772605.94800000 United States Dollar 2073325.81800000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 248

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citigroup Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Citigroup Mortgage Loan Trust 2006-AR5
d. CUSIP (if any).
17309FAS7
At least one of the following other identifiers:
- ISIN
US17309FAS74

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
177636.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
124625.31000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.071283910424

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.74909000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 249

Item C.1. Identification of investment.

a. Name of issuer (if any).
Hawaii Hotel Trust 2019-MAUI
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Hawaii Hotel Trust 2019-MAUI
d. CUSIP (if any).
41975AAN2
At least one of the following other identifiers:
- ISIN
US41975AAN28

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1697000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1674655.26000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.957879066027

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-05-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
3.23375000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 250

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857645
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1417000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1417000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.81050391025

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11793964.52900000 United States Dollar 2949396.81300000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 251

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857365
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2493000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2493000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.42596065509

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#13460000.00000000 United States Dollar 3223303.13000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 252

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857519
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1224000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1224000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.70011064654

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#112125166.93000000 United States Dollar 5289134.27700000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 253

Item C.1. Identification of investment.

a. Name of issuer (if any).
mrcd 2019-prkc mortgage trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
MRCD 2019-PRKC Mortgage Trust
d. CUSIP (if any).
55348UAA6
At least one of the following other identifiers:
- ISIN
US55348UAA60

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2100000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1818871.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.040368550503

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-15
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 254

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae - CAS
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae Connecticut Avenue Securities
d. CUSIP (if any).
30711XDB7
At least one of the following other identifiers:
- ISIN
US30711XDB73

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2614237.89000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2962612.28000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.694572221251

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-01-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
10.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 255

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2006-HY10
d. CUSIP (if any).
12668BUF8
At least one of the following other identifiers:
- ISIN
US12668BUF83

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
178623.75000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
167017.37000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.095531567724

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.57619700
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 256

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citigroup Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
549300R1KUK063S4I339
c. Title of the issue or description of the investment.
Citigroup Mortgage Loan Trust Inc
d. CUSIP (if any).
17307GXX1
At least one of the following other identifiers:
- ISIN
US17307GXX14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
128745.86000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
122538.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.070090364768

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.21269000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 257

Item C.1. Identification of investment.

a. Name of issuer (if any).
Wells Fargo Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Wells Fargo Alternative Loan 2007-PA1 Trust
d. CUSIP (if any).
94984TAM1
At least one of the following other identifiers:
- ISIN
US94984TAM18

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1613008.93000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
213128.97000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.121906749170

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-03-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
5.37400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 258

Item C.1. Identification of investment.

a. Name of issuer (if any).
Bear Stearns Asset Backed Secu
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Bear Stearns Asset Backed Securities I Trust 2005-CL1
d. CUSIP (if any).
073879U97
At least one of the following other identifiers:
- ISIN
US073879U970
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3YJ9M8
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
40221.97000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
39120.88000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.022376588717

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 259

Item C.1. Identification of investment.

a. Name of issuer (if any).
National Collegiate Commutatio
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
National Collegiate VI 2007-4 Class A-3L Commutation Trust
d. CUSIP (if any).
63546VAA8
At least one of the following other identifiers:
- ISIN
US63546VAA89

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6237913.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1497068.12000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.856301739717

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-03-29
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.93600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 260

Item C.1. Identification of investment.

a. Name of issuer (if any).
FirstFed Corp Manufactured Hou
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Firstfed Corp Manufactured Housing Contract
d. CUSIP (if any).
33761SAF5
At least one of the following other identifiers:
- ISIN
US33761SAF56

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
123784.70000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
5298.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003030941432

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2024-05-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
8.11000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 261

Item C.1. Identification of investment.

a. Name of issuer (if any).
Hawaii Hotel Trust 2019-MAUI
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Hawaii Hotel Trust 2019-MAUI
d. CUSIP (if any).
41975AAL6
At least one of the following other identifiers:
- ISIN
US41975AAL61

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
999269.60000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.571568043895

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-05-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.83375000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 262

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU Mortgage Pass-Through Cer
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust
d. CUSIP (if any).
92925GAD5
At least one of the following other identifiers:
- ISIN
US92925GAD51
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B29TN79
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
147965.24000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
141943.16000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.081189475098

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-12-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.44795800
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 263

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
549300LENCFK8RITKD65
c. Title of the issue or description of the investment.
Banc of America Funding 2014-R5 Trust
d. CUSIP (if any).
05990PAB1
At least one of the following other identifiers:
- ISIN
US05990PAB13

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3750000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3302281.50000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.888858199377

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-09-26
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.65300000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 264

Item C.1. Identification of investment.

a. Name of issuer (if any).
ML-CFC Commercial Mortgage Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
ML-CFC Commercial Mortgage Trust 2007-9
d. CUSIP (if any).
60688CAK2
At least one of the following other identifiers:
- ISIN
US60688CAK27
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B2B3CP0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
6646.48000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6549.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003745958029

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2049-09-12
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.22200000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 265

Item C.1. Identification of investment.

a. Name of issuer (if any).
Fannie Mae
b. LEI (if any) of issuer. (1)
B1V7KEBTPIMZEU4LTD58
c. Title of the issue or description of the investment.
Fannie Mae REMICS
d. CUSIP (if any).
3136AATJ4
At least one of the following other identifiers:
- ISIN
US3136AATJ47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1859858.66000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
363350.92000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.207831574774

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
U.S. government sponsored entity

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2042-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.06400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 266

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2005-36
d. CUSIP (if any).
12667GA29
At least one of the following other identifiers:
- ISIN
US12667GA298

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
201607.44000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
198912.84000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.113775324361

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.75126300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 267

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Home Loans
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CHL Mortgage Pass-Through Trust 2005-18
d. CUSIP (if any).
126694EP9
At least one of the following other identifiers:
- ISIN
US126694EP92

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
11292.32000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
12483.21000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.007140219137

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
19.28849900
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 268

Item C.1. Identification of investment.

a. Name of issuer (if any).
JP Morgan Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
JP Morgan Mortgage Trust 2005-S3
d. CUSIP (if any).
466247ZN6
At least one of the following other identifiers:
- ISIN
US466247ZN67

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
649993.91000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
480353.95000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.274755649105

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-01-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.50000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 269

Item C.1. Identification of investment.

a. Name of issuer (if any).
LADDER CAP FIN LLLP/CORP
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp
d. CUSIP (if any).
505742AP1
At least one of the following other identifiers:
- ISIN
US505742AP10
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BNHV192
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2000000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1988400.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.137336609141

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Debt
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2029-06-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 270

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857649
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-2300000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-2300000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.31556739138

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#12339781.04000000 United States Dollar 2757133.87500000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 271

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
549300818AKCJ4Q9TD76
c. Title of the issue or description of the investment.
CSMC 2014-USA OA LLC
d. CUSIP (if any).
12649AAS8
At least one of the following other identifiers:
- ISIN
US12649AAS87
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BD6CYV9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2720000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2139557.98000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.223796830635

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-09-15
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
4.37330000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 272

Item C.1. Identification of investment.

a. Name of issuer (if any).
Banc of America Funding Corpor
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Banc of America Funding 2015-R2 Trust
d. CUSIP (if any).
05990TBE6
At least one of the following other identifiers:
- ISIN
US05990TBE64

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4250483.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4227586.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.418119620796

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-03-27
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.34250200
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 273

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2017-2
d. CUSIP (if any).
35563PBN8
At least one of the following other identifiers:
- ISIN
US35563PBN87

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
417768284.82000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1813949.89000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.037553619516

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2056-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
0.07500000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 274

Item C.1. Identification of investment.

a. Name of issuer (if any).
BELLEMEADE RE LT
b. LEI (if any) of issuer. (1)
549300O2GEH6GH9NO762
c. Title of the issue or description of the investment.
Bellemeade Re 2018-1 Ltd
d. CUSIP (if any).
078768AE8
At least one of the following other identifiers:
- ISIN
US078768AE85

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
510000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
514954.04000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.294546410036

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
BERMUDA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.98600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 275

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC Resecuritization Trust 2006-1R
d. CUSIP (if any).
12638FAB7
At least one of the following other identifiers:
- ISIN
US12638FAB76

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
273418.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
379212.22000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.216904013498

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
19.28850000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 276

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Asset-Backed Certi
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Countrywide Asset-Backed Certificates
d. CUSIP (if any).
23244AAA3
At least one of the following other identifiers:
- ISIN
US23244AAA34

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
263111.01000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
258421.64000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.147813514265

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-07-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.74600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 277

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2017-RPL1 Trust
d. CUSIP (if any).
22945AAF6
At least one of the following other identifiers:
- ISIN
US22945AAF66

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
3501991.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
3170497.08000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.813479379531

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2057-07-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.99796000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 278

Item C.1. Identification of investment.

a. Name of issuer (if any).
Nomura Resecuritization Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Nomura Resecuritization Trust 2014-5R
d. CUSIP (if any).
65540HAJ1
At least one of the following other identifiers:
- ISIN
US65540HAJ14

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1756935.23000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1772600.06000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.013902102999

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-06-26
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
6.06088400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 279

Item C.1. Identification of investment.

a. Name of issuer (if any).
Countrywide Alternative Loan T
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Alternative Loan Trust 2006-J8
d. CUSIP (if any).
23245LAE0
At least one of the following other identifiers:
- ISIN
US23245LAE02

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
82462.55000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
52026.59000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.029758471864

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
6.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 280

Item C.1. Identification of investment.

a. Name of issuer (if any).
Wachovia Mortgage Loan Trust,
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Wachovia Mortgage Loan Trust LLC Series 2005-B Trust
d. CUSIP (if any).
92977YBU4
At least one of the following other identifiers:
- ISIN
US92977YBU47

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
10628.73000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
9781.77000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.005595033757

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2035-10-20
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.35155600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 281

Item C.1. Identification of investment.

a. Name of issuer (if any).
Legacy Mortgage Asset Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Legacy Mortgage Asset Trust 2019-GS2
d. CUSIP (if any).
52475BAB8
At least one of the following other identifiers:
- ISIN
US52475BAB80

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
4520000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
4524573.34000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
2.587991802619

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2059-01-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
4.25000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 282

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP862211
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1600000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.91517731574

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. Value
NOMURA SECURITIES INTERNATIONAL, INC.
c. Tri-party? Yes No
d. Repurchase rate.
1.89580000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#119301937.09000000 United States Dollar 2217182.23000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 283

Item C.1. Identification of investment.

a. Name of issuer (if any).
DBUBS Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
DBUBS 2011-LC3 Mortgage Trust
d. CUSIP (if any).
23305YAQ2
At least one of the following other identifiers:
- ISIN
US23305YAQ26

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2599999.99000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
26.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.000014871631

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2044-08-10
b. Coupon.
i. Coupon category. (13)
Fixed
ii. Annualized rate.
3.75000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 284

Item C.1. Identification of investment.

a. Name of issuer (if any).
Access Group Inc
b. LEI (if any) of issuer. (1)
635400C9RW3TYNTIJP57
c. Title of the issue or description of the investment.
AccessLex Institute
d. CUSIP (if any).
00432CBK6
At least one of the following other identifiers:
- ISIN
US00432CBK62
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3Q29R0
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
600000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
569647.67000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.325830390969

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2039-07-01
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.58400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 285

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP862027
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-895000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-895000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.51192731099

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. Value
NOMURA SECURITIES INTERNATIONAL, INC.
c. Tri-party? Yes No
d. Repurchase rate.
1.89580000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#111287980.35000000 United States Dollar 4254838.73600000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 286

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP857646
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-788000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-788000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-0.45072482800

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.89090000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#11484225.88900000 United States Dollar 2616552.08800000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 287

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citigroup Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
549300R1KUK063S4I339
c. Title of the issue or description of the investment.
Citigroup Mortgage Loan Trust Inc
d. CUSIP (if any).
17307GKZ0
At least one of the following other identifiers:
- ISIN
US17307GKZ09

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19467.14000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
19563.30000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.011189930238

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.22775000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 288

Item C.1. Identification of investment.

a. Name of issuer (if any).
Citigroup Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
549300R1KUK063S4I339
c. Title of the issue or description of the investment.
Citigroup Mortgage Loan Trust Inc
d. CUSIP (if any).
17307GJX7
At least one of the following other identifiers:
- ISIN
US17307GJX79

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
28774.55000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
28928.63000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.016546766219

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2034-09-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.65843300
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 289

Item C.1. Identification of investment.

a. Name of issuer (if any).
WAMU Mortgage Pass-Through Cer
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust
d. CUSIP (if any).
92922F4V7
At least one of the following other identifiers:
- ISIN
US92922F4V78

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
120769.51000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
120579.72000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.068969890301

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2045-10-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
1.06600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 290

Item C.1. Identification of investment.

a. Name of issuer (if any).
PMT CREDIT RISK TRANSFER TRUST
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
PMT Credit Risk Transfer Trust 2019-2R
d. CUSIP (if any).
69345WAA6
At least one of the following other identifiers:
- ISIN
US69345WAA62

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1311093.20000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1299293.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.743177604055

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2023-05-27
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
2.83675000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 291

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Asset Securitizati
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Residential Asset Securitization Trust 2006-A1
d. CUSIP (if any).
45660L6N4
At least one of the following other identifiers:
- ISIN
US45660L6N45

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1375410.87000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
420865.55000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.240729127711

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-04-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.58600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 292

Item C.1. Identification of investment.

a. Name of issuer (if any).
Residential Accredit Loans, In
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
RALI Series 2007-QA2 Trust
d. CUSIP (if any).
74922PAA2
At least one of the following other identifiers:
- ISIN
US74922PAA21
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
B3M3MS9
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
65940.62000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
73855.75000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.042244441898

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2037-02-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
0.34600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 293

Item C.1. Identification of investment.

a. Name of issuer (if any).
HarborView Mortgage Loan Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
HarborView Mortgage Loan Trust 2006-2
d. CUSIP (if any).
41161PJ38
At least one of the following other identifiers:
- ISIN
US41161PJ380

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
13754.02000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
6038.46000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.003453913508

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-02-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
2.62252600
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 294

Item C.1. Identification of investment.

a. Name of issuer (if any).
IndyMac INDX Mortgage Loan Tru
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
IndyMac INDX Mortgage Loan Trust 2006-AR7
d. CUSIP (if any).
45661EDE1
At least one of the following other identifiers:
- ISIN
US45661EDE14
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
BQ5C3L4
Description of other unique identifier.
SEDOL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
159434.78000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
138297.36000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.079104129187

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2036-05-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
3.03123000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 295

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - SCRT
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
Seasoned Credit Risk Transfer Trust Series 2017-2
d. CUSIP (if any).
35563PBM0
At least one of the following other identifiers:
- ISIN
US35563PBM05

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
19271780.15000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2131905.99000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.219420000842

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2056-08-25
b. Coupon.
i. Coupon category. (13)
Variable
ii. Annualized rate.
1.18547400
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 296

Item C.1. Identification of investment.

a. Name of issuer (if any).
Freddie Mac - STACR
b. LEI (if any) of issuer. (1)
S6XOOCT0IEG5ABCC6L87
c. Title of the issue or description of the investment.
Freddie Mac Structured Agency Credit Risk Debt Notes
d. CUSIP (if any).
3137G0KV0
At least one of the following other identifiers:
- ISIN
US3137G0KV00

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
1029069.08000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
1216689.57000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.695929184229

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2028-12-25
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
11.33600000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 297

Item C.1. Identification of investment.

a. Name of issuer (if any).
NOMURA SECURITIES INTERNATIONAL, INC.
b. LEI (if any) of issuer. (1)
OXTKY6Q8X53C9ILVV871
c. Title of the issue or description of the investment.
NOMURA SECURITIES INTERNATIONAL, INC.
d. CUSIP (if any).
000000000
At least one of the following other identifiers:
- Other unique identifier (if ticker and ISIN are not available). Indicate the type of identifier used
RP865949
Description of other unique identifier.
INTERNAL

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
-1867000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
-1867000.00000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
-1.06789753030

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
Repurchase agreement
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

N/A

Item C.10. Repurchase and reverse repurchase agreements.

a. Transaction category. (18) Repurchase Reverse repurchase
b. Counterparty.
i. Cleared by central counterparty? If Yes, provide the name of the central counterparty. Yes No
ii. If No, provide the name and LEI (if any) of counterparty.

Counterparty Info RecordName of counterpartyLEI (if any) of counterparty
#1NOMURA SECURITIES INTERNATIONAL, INC.OXTKY6Q8X53C9ILVV871

c. Tri-party? Yes No
d. Repurchase rate.
1.87730000
e. Maturity date.
2023-05-22
f. Provide the following information concerning the securities subject to the repurchase agreement (i.e., collateral). (19)
Repurchase Collateral RecordPrincipal amountPrincipal ISO currency codeValue of collateralCollateral ISO currency code Category of investments (20)
#15498030.08900000 United States Dollar 12049523.62000000 United States Dollar Agency mortgage-backed securities

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 298

Item C.1. Identification of investment.

a. Name of issuer (if any).
Social Professional Loan Progr
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC
d. CUSIP (if any).
83401B106
At least one of the following other identifiers:
- ISIN
US83401B1061

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
34000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
885745.02000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
0.506633593648

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-other
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2041-01-25
b. Coupon.
i. Coupon category. (13)
None
ii. Annualized rate.
0.00000000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No
Schedule of Portfolio Investments Record: 299

Item C.1. Identification of investment.

a. Name of issuer (if any).
Credit Suisse Mortgage Trust
b. LEI (if any) of issuer. (1)
N/A
c. Title of the issue or description of the investment.
CSMC 2021-ADV
d. CUSIP (if any).
12660WAS4
At least one of the following other identifiers:
- ISIN
US12660WAS44

Item C.2. Amount of each investment.

Balance. (2)
a. Balance
2080000.00000000
b. Units
Principal amount
c. Description of other units.
d. Currency. (3)
United States Dollar
e. Value. (4)
2079550.51000000
f. Exchange rate.
g. Percentage value compared to net assets of the Fund.
1.189473408560

Item C.3. Payoff profile.

a. Payoff profile. (5) Long Short N/A

Item C.4. Asset and issuer type.

a. Asset type. (6)
ABS-mortgage backed security
b. Issuer type. (7)
Corporate

Item C.5. Country of investment or issuer.

a. ISO country code. (8)
UNITED STATES OF AMERICA
b. Investment ISO country code. (9)

Item C.6. Is the investment a Restricted Security?

a. Is the investment a Restricted Security? Yes No

Item C.7. Liquidity classification information.

a. Liquidity classification information. (10)
Category.
N/A

Item C.8. Fair value level.

a. Level within the fair value hierarchy (12) 1 2 3 N/A

Item C.9. Debt securities.

For debt securities, also provide:
a. Maturity date.
2038-07-15
b. Coupon.
i. Coupon category. (13)
Floating
ii. Annualized rate.
6.33400000
c. Currently in default? Yes No
d. Are there any interest payments in arrears? (14) Yes No
e. Is any portion of the interest paid in kind? (15) Yes No
f. For convertible securities, also provide:
i. Mandatory convertible? Yes No
ii. Contingent convertible? Yes No
iii. Description of the reference instrument. (16)

Reference Instrument RecordName of issuerTitle of issueCurrency in which denominated

iv. Conversion ratio per US$1000 notional. (17)

Bond Currency RecordConversion ratio per 1000 unitsISO Currency Code

v. Delta (if applicable).

Item C.10. Repurchase and reverse repurchase agreements.

N/A

Item C.11. Derivatives.

N/A

Item C.12. Securities lending.

a. Does any amount of this investment represent reinvestment of cash collateral received for loaned securities? Yes No
b. Does any portion of this investment represent that is treated as a Fund asset and received for loaned securities? Yes No
c. Is any portion of this investment on loan by the Fund? Yes No

NPORT-P: Part E: Explanatory Notes (if any)

The Fund may provide any information it believes would be helpful in understanding the information reported in response to any Item of this Form. The Fund may also explain any assumptions that it made in responding to any Item of this Form. To the extent responses relate to a particular Item, provide the Item number(s), as applicable.

NPORT-P: Additional notes

IdentifierNote
(1) LEI (if any) of issuer. In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(2) Balance. Indicate whether amount is expressed in number of shares, principal amount, or other units. For derivatives contracts, as applicable, provide the number of contracts.
(3) Currency. Indicate the currency in which the investment is denominated.
(4) Value. Report values in U.S. dollars. If currency of investment is not denominated in U.S. dollars, provide the exchange rate used to calculate value.
(5) Indicate payoff profile among the following categories (long, short, N/A). For derivatives, respond N/A to this Item and respond to the relevant payoff profile question in Item [C/D].11.
(6) Asset type (short-term investment vehicle (e.g., money market fund, liquidity pool, or other cash management vehicle), repurchase agreement, equity-common, equity-preferred, debt, derivative-commodity, derivative-credit, derivative-equity, derivative-foreign exchange, derivative-interest rate, derivatives-other, structured note, loan, ABS-mortgage backed security, ABS-asset backed commercial paper, ABS-collateralized bond/debt obligation, ABS-other, commodity, real estate, other). If “other” provide a brief description.
(7) Issuer type (corporate, U.S. Treasury, U.S. government agency, U.S. government sponsored entity, municipal, non-U.S. sovereign, private fund, registered fund, other). If “other” provide a brief description.
(8) Report the ISO country code that corresponds to the country where the issuer is organized.
(9) If different from the country where the issuer is organized, also report the ISO country code that corresponds to the country of investment or issuer based on the concentrations of the risk and economic exposure of the investments.
(10) Liquidity classification information. For portfolio investments of open-end management investment companies, provide the liquidity classification(s) for each portfolio investment among the following categories as specified in rule 22e-4 [17 CFR 270.22e-4]: Highly Liquid Investments, Moderately Liquid Investments, Less Liquid Investments, Illiquid Investments. For portfolio investments with multiple liquidity classifications, indicate the percentage amount attributable to each classification.
(11) Funds may choose to indicate the percentage amount of a holding attributable to multiple classification categories only in the following circumstances:
(1) if portions of the position have differing liquidity features that justify treating the portions separately;
(2) if a fund has multiple sub-advisers with differing liquidity views; or
(3) if the fund chooses to classify the position through evaluation of how long it would take to liquidate the entire position (rather than basing it on the sizes it would reasonably anticipated trading).
In (1) and (2), a fund would classify using the reasonably anticipated trade size for each portion of the position.
(12) Indicate the level within the fair value hierarchy in which the fair value measurements fall pursuant to U.S. Generally Accepted Accounting Principles 7 (ASC 820, Fair Value Measurement). [1/2/3] Report "N/A" if the investment does not have a level associated with it (i.e., net asset value used as the practical expedient).
(13) Select the category that most closely reflects the coupon type among the following (fixed, floating, variable, none).
(14) Are there any interest payments in arrears or have any coupon payments been legally deferred by the issuer? [Y/N]
(15) Enter "N" if the interest may be paid in kind but is not actually paid in kind or if the Fund has the option of electing in-kind payment and has elected to be paid in-kind.
(16) Description of the reference instrument, including the name of issuer, title of issue, and currency in which denominated, as well as CUSIP of reference instrument, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).
If other identifier provided, indicate the type of identifier used.
(17) Conversion ratio per US$1000 notional, or, if bond currency is not in U.S. dollars, per 1000 units of the relevant currency, indicating the relevant currency. If there is more than one conversion ratio, provide each conversion ratio.
(18) Select the category that reflects the transaction (repurchase, reverse repurchase). Select "repurchase agreement" if the Fund is the cash lender and receives collateral. Select "reverse repurchase agreement" if the Fund is the cash borrower and posts collateral.
(19) If multiple securities of an issuer are subject to the repurchase agreement, those securities may be aggregated.
(20) Category of investments that most closely represents the collateral, selected from among the following (asset-backed securities; agency collateralized mortgage obligations; agency debentures and agency strips; agency mortgage-backed securities; private label collateralized mortgage obligations; corporate debt securities; equities; money market; U.S. Treasuries (including strips); other instrument). If "other instrument", include a brief description, including, if applicable, whether it is a collateralized debt obligation, municipal debt, whole loan, or international debt
(21) Type of derivative instrument that most closely represents the investment, selected from among the following (forward, future, option, swaption, swap (including but not limited to total return swaps, credit default swaps, and interest rate swaps), warrant, other).
(22) In the case of a holding in a fund that is a series of a series trust, report the LEI of the series.
(23) Description and terms of payments necessary for a user of financial information to understand the terms of payments to be paid and received, including, as applicable, description of the reference instrument, obligation, or index, financing rate, floating coupon rate, fixed coupon rate, and payment frequency.
(24) Depreciation shall be reported as a negative number.
(25) If the reference instrument is a derivative, indicate the category of derivative from among the categories listed in sub-Item C.11.a. and provide all information required to be reported on this Form for that category.
(26) If the reference instrument is an index or custom basket, and if the index’s or custom basket’s components are publicly available on a website and are updated on that website no less frequently than quarterly, identify the index and provide the index identifier, if any. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index. If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents more than 5% of the net asset value of the Fund, provide the (i) name, (ii) identifier, (iii) number of shares or notional amount or contract value as of the trade date (all of which would be reported as negative for short positions), and (iv) value of every component in the index or custom basket. The identifier shall include CUSIP of the index’s or custom basket’s components, ISIN (if CUSIP is not available), ticker (if CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available). If other identifier provided, indicate the type of identifier used.

If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents greater than 1%, but 5% or less, of the net asset value of the Fund, Funds shall report the required component information described above, but may limit reporting to the (i) 50 largest components in the index and (ii) any other components where the notional value for that components is over 1% of the notional value of the index or custom basket.
An index or custom basket, where the components are publicly available on a website and are updated on that website no less frequently than quarterly.
(27) If the index’s or custom basket’s components are not publicly available in that manner, and the notional amount of the derivative represents 1% or less of the net asset value of the Fund, provide a narrative description of the index.
(28) If the reference instrument is neither a derivative or an index, the description of the reference instrument shall include the name of issuer and title of issue, as well as CUSIP of the reference instrument, ISIN (if CUSIP is not available), ticker if (CUSIP and ISIN are not available), or other identifier (if CUSIP, ISIN, and ticker are not available).

NPORT-P: Signatures

The Registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Registrant:
Western Asset Mortgage Opportunity Fund Inc.
By (Signature):
Christopher Berarducci
Name:
Christopher Berarducci
Title:
Principal Financial Officer
Date:
2021-11-17


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