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    <isConfidential>false</isConfidential>
    <filerInfo>

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        <issuerCredentials>
          <cik>0001464413</cik>
          <ccc>XXXXXXXX</ccc>
        </issuerCredentials>
      </filer>


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        <classId>C000079607</classId>
        <classId>C000096729</classId>
      </seriesClassInfo>


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      <regFileNumber>811-22298</regFileNumber>
      <regCik>0001464413</regCik>
      <regLei>549300IGQEISLESO0528</regLei>
      <regStreet1>116 South Franklin Street</regStreet1>
      <regCity>Rocky Mount</regCity>
      <regStateConditional regCountry="US" regState="US-NC"/>
      <regZipOrPostalCode>27804</regZipOrPostalCode>
      <regPhone>252-972-9922</regPhone>
      <seriesName>Cavalier Adaptive Income Fund</seriesName>
      <seriesId>S000026514</seriesId>
      <seriesLei>549300EHSSN4HK394B90</seriesLei>
      <repPdEnd>2020-05-31</repPdEnd>
      <repPdDate>2020-05-31</repPdDate>
      <isFinalFiling>N</isFinalFiling>
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      <totLiabs>50646.47</totLiabs>
      <netAssets>46471557.61</netAssets>
      <assetsAttrMiscSec>0</assetsAttrMiscSec>
      <assetsInvested>0</assetsInvested>
      <amtPayOneYrBanksBorr>0</amtPayOneYrBanksBorr>
      <amtPayOneYrCtrldComp>0</amtPayOneYrCtrldComp>
      <amtPayOneYrOthAffil>0</amtPayOneYrOthAffil>
      <amtPayOneYrOther>0</amtPayOneYrOther>
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      <amtPayAftOneYrCtrldComp>0</amtPayAftOneYrCtrldComp>
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      <delayDeliv>0</delayDeliv>
      <standByCommit>0</standByCommit>
      <liquidPref>0</liquidPref>
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      <borrowers>
        <borrower aggrVal="0" lei="N/A" name="N/A"/>
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      <returnInfo>
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        <name>ARMT 2005-9 1A4</name>
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        <name>ADJUSTABLE RATE MTG</name>
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      <invstOrSec>
        <name>CWALT 2006-30T1 1A3</name>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>CWALT 2006-28CB A5</name>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CWALT 2007-9T1 2A2</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>AHM 2004-1 4M1</name>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2044-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <name>AHM 2004-2 3A</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>American Home Mtg</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>ABFC 2005-WF1 M9</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>BAMLL 2018-DSNY</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BAFC 2006-B 3A1</name>
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          <couponKind>Variable</couponKind>
          <annualizedRt>3.93</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAFC 2004-3 1A5</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05946XGT4</cusip>
        <identifiers>
          <isin value="US05946XGT46"/>
        </identifiers>
        <balance>43620.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>44289.55</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAFC 2004-B 1A1</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05946XHV8</cusip>
        <identifiers>
          <isin value="US05946XHV82"/>
        </identifiers>
        <balance>66407.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>43355.78</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.12</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA FUND</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05946XRT2</cusip>
        <identifiers>
          <isin value="US05946XRT27"/>
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        <balance>314515.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>272594.24</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.93</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2006-1 5A5</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>05948K3J6</cusip>
        <identifiers>
          <isin value="US05948K3J68"/>
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        <balance>83531</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>75041.77</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAA 2005-11 2CB1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>05948KV55</cusip>
        <identifiers>
          <isin value="US05948KV554"/>
        </identifiers>
        <balance>267131.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>254074.52</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2004-2 1A7</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05948X4B4</cusip>
        <identifiers>
          <isin value="US05948X4B43"/>
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        <balance>118433.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>112489.37</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2004-2 1A8</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05948X4C2</cusip>
        <identifiers>
          <isin value="US05948X4C26"/>
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        <balance>92713.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>88095.94</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2003-J 2A2</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05948XYD7</cusip>
        <identifiers>
          <isin value="US05948XYD73"/>
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        <balance>57318.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>56714.3</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.03</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2004-D B1</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05949ADR8</cusip>
        <identifiers>
          <isin value="US05949ADR86"/>
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        <balance>91017.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>80147.94</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.69</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2005-C 2A2</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05949AY87</cusip>
        <identifiers>
          <isin value="US05949AY870"/>
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        <balance>299660.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>278177.73</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOAMS 2005-G 4A3</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>05949CEN2</cusip>
        <identifiers>
          <isin value="US05949CEN20"/>
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        <balance>1107807.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1014142.67</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.02</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BAFC 2002-1 B1</name>
        <lei>54930023UHZHF7UJ8596</lei>
        <title>CMO</title>
        <cusip>06051GAJ8</cusip>
        <identifiers>
          <isin value="US06051GAJ85"/>
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        <balance>54941.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>54616.76</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BSARM 2004-8 12A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>07384M2B7</cusip>
        <identifiers>
          <isin value="US07384M2B77"/>
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        <balance>123002.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>122405.8</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.71</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BSARM 2004-1 124M</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>07384MG89</cusip>
        <identifiers>
          <isin value="US07384MG896"/>
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        <balance>216791.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>206107.39</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.84</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BSARM 2003-7 7A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>07384MYX4</cusip>
        <identifiers>
          <isin value="US07384MYX46"/>
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        <balance>66622.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>60591.43</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.89</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BALTA 2004-11 2A2</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>CMO</title>
        <cusip>07386HMW8</cusip>
        <identifiers>
          <isin value="US07386HMW87"/>
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        <balance>211100.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>208200.17</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.12</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BALTA 2005-7</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>CMO</title>
        <cusip>07386HVV0</cusip>
        <identifiers>
          <isin value="US07386HVV04"/>
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        <balance>374093.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>273909.59</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.03</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BSABS 2004-FR2 M4</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>073879FJ2</cusip>
        <identifiers>
          <isin value="US073879FJ25"/>
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        <balance>177898.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>180231.97</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BSCMS 2006 - PW13</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>CMO</title>
        <cusip>07388LAM2</cusip>
        <identifiers>
          <isin value="US07388LAM28"/>
        </identifiers>
        <balance>470578</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>470987.4</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-11</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bella Vista Mtg Tr</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>07820QCD5</cusip>
        <identifiers>
          <isin value="US07820QCD51"/>
        </identifiers>
        <balance>168299.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>111266.64</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.44</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BX 2017-CQHP</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12433QAA2</cusip>
        <identifiers>
          <isin value="US12433QAA22"/>
        </identifiers>
        <balance>1000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>953259</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.03</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CBASS 2007-SP1 M1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>1248MAAE7</cusip>
        <identifiers>
          <isin value="US1248MAAE71"/>
        </identifiers>
        <balance>571000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>587457.19</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.18</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2007-HY1 1A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12544EAA5</cusip>
        <identifiers>
          <isin value="US12544EAA55"/>
        </identifiers>
        <balance>314310.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>276289.41</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12637HAX6</cusip>
        <identifiers>
          <isin value="US12637HAX61"/>
        </identifiers>
        <balance>754599</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>278595.37</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWL 2006-9 1AF3</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12666RAC4</cusip>
        <identifiers>
          <isin value="US12666RAC43"/>
        </identifiers>
        <balance>33654.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>32450.77</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Asset-Ba</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126670QU5</cusip>
        <identifiers>
          <isin value="US126670QU57"/>
        </identifiers>
        <balance>284586.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>278463.2</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Asset</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>1266713N4</cusip>
        <identifiers>
          <isin value="US1266713N47"/>
        </identifiers>
        <balance>452007.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>438138.41</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWL 2004-8 M4</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126673EY4</cusip>
        <identifiers>
          <isin value="US126673EY47"/>
        </identifiers>
        <balance>442789.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>361872.73</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2006-6CB</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667F5C5</cusip>
        <identifiers>
          <isin value="US12667F5C52"/>
        </identifiers>
        <balance>24030.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>25216.61</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternat</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667FP66</cusip>
        <identifiers>
          <isin value="US12667FP660"/>
        </identifiers>
        <balance>499551.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>493970.17</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2004-15 2A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667FPX7</cusip>
        <identifiers>
          <isin value="US12667FPX77"/>
        </identifiers>
        <balance>593926.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>581602.55</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.11</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2005</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667GBJ1</cusip>
        <identifiers>
          <isin value="US12667GBJ13"/>
        </identifiers>
        <balance>744894.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>744894.41</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2005-J8 1A5</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667GJ46</cusip>
        <identifiers>
          <isin value="US12667GJ463"/>
        </identifiers>
        <balance>223022.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>197617.57</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667GL76</cusip>
        <identifiers>
          <isin value="US12667GL766"/>
        </identifiers>
        <balance>92662.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>65598.13</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.16</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2005-36 3A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12667GZX4</cusip>
        <identifiers>
          <isin value="US12667GZX41"/>
        </identifiers>
        <balance>34358.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>31122.42</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.53</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2005-J11</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12668AJS5</cusip>
        <identifiers>
          <isin value="US12668AJS50"/>
        </identifiers>
        <balance>174446.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>146965.03</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWALT 2005-73CB 1A7</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12668AU45</cusip>
        <identifiers>
          <isin value="US12668AU453"/>
        </identifiers>
        <balance>78454.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>77200.14</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2006-HYB2 4A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126694D70</cusip>
        <identifiers>
          <isin value="US126694D703"/>
        </identifiers>
        <balance>1149351.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1113213.15</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.19</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2006-J2 1A6</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126694H68</cusip>
        <identifiers>
          <isin value="US126694H688"/>
        </identifiers>
        <balance>62391.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>49726.26</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2005-HYB8 4A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126694QJ0</cusip>
        <identifiers>
          <isin value="US126694QJ05"/>
        </identifiers>
        <balance>364994.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>345743.34</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.64</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWMBS CHL MTG TR</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>126694YJ1</cusip>
        <identifiers>
          <isin value="US126694YJ13"/>
        </identifiers>
        <balance>49417.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>43778.99</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.42</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2004-20 2A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12669F2H5</cusip>
        <identifiers>
          <isin value="US12669F2H56"/>
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        <balance>323471.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>232116.47</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.08</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 02/25/2035</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>12669GJF9</cusip>
        <identifiers>
          <isin value="US12669GJF90"/>
        </identifiers>
        <balance>259452.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>201907.23</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CFAB 2003-3</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>161546FP6</cusip>
        <identifiers>
          <isin value="US161546FP64"/>
        </identifiers>
        <balance>350304.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>336535.98</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE 2007-S5</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>161631AL0</cusip>
        <identifiers>
          <isin value="US161631AL02"/>
        </identifiers>
        <balance>193621.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>135310.32</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CCMFC 2005-2A A2</name>
        <lei>549300QD5ZVFK417DY24</lei>
        <title>CMO</title>
        <cusip>16678RDL8</cusip>
        <identifiers>
          <isin value="US16678RDL87"/>
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        <balance>239292.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>211741.4</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2007-1 A4 MTGE</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>170255AN3</cusip>
        <identifiers>
          <isin value="US170255AN30"/>
        </identifiers>
        <balance>47407.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>34543.26</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHL 2006-16 3A2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>170257AF6</cusip>
        <identifiers>
          <isin value="US170257AF61"/>
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        <balance>846023.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>488209.03</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTG LN TR</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>CMO</title>
        <cusip>17307G3C0</cusip>
        <identifiers>
          <isin value="US17307G3C01"/>
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        <balance>37058.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>35446.03</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.14</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CMLTI 2004-HYB4 WA</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>CMO</title>
        <cusip>17307GMJ4</cusip>
        <identifiers>
          <isin value="US17307GMJ49"/>
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        <balance>13050</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>12265.75</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.04</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CMLTI 2006-AR5 1A3A</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>CMO</title>
        <cusip>17309FAE8</cusip>
        <identifiers>
          <isin value="US17309FAE88"/>
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        <balance>138643</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>96321.65</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.07</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CONTIMTG HOME EQ LN</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>21075WDE2</cusip>
        <identifiers>
          <isin value="US21075WDE21"/>
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        <balance>201334</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>176786.6</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.82</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2001-AR5 B1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>22540VLG5</cusip>
        <identifiers>
          <isin value="US22540VLG58"/>
        </identifiers>
        <balance>177025.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>170622.28</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.62</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSFB 2003-23 5A1</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CMO</title>
        <cusip>22541QWZ1</cusip>
        <identifiers>
          <isin value="US22541QWZ17"/>
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        <balance>86477.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>91102.56</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE FIRST</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CMO</title>
        <cusip>225470EU3</cusip>
        <identifiers>
          <isin value="US225470EU38"/>
        </identifiers>
        <balance>436579</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>314127.8</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSFB 2005-12 5A1</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CMO</title>
        <cusip>225470RW5</cusip>
        <identifiers>
          <isin value="US225470RW56"/>
        </identifiers>
        <balance>514935.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>491063.43</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSFB 2005-12 6A1</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>CMO</title>
        <cusip>225470RY1</cusip>
        <identifiers>
          <isin value="US225470RY13"/>
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        <balance>66516.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>54596.38</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DSLA MTG LN TR</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>23332UDV3</cusip>
        <identifiers>
          <isin value="US23332UDV35"/>
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        <balance>261989.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>208139.41</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.41</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SEC</name>
        <lei>5299003GGM6YEXXXJ012</lei>
        <title>CMO</title>
        <cusip>251510LF8</cusip>
        <identifiers>
          <isin value="US251510LF85"/>
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        <balance>347554</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>298412.48</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.63</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMLT 2003-2 3A3</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>29445FAH1</cusip>
        <identifiers>
          <isin value="US29445FAH10"/>
        </identifiers>
        <balance>373589.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>359550.51</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.31</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMLT 2003-2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>29445FAL2</cusip>
        <identifiers>
          <isin value="US29445FAL22"/>
        </identifiers>
        <balance>125798.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>124659.23</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.39</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EQABS 2004-3 M2 MTGE</name>
        <lei>5493008CARDZMVQ3LO89</lei>
        <title>CMO</title>
        <cusip>294751FA5</cusip>
        <identifiers>
          <isin value="US294751FA52"/>
        </identifiers>
        <balance>38622.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>37198.73</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.34</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FFML 2003-FF3 M1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>32027NDK4</cusip>
        <identifiers>
          <isin value="US32027NDK46"/>
        </identifiers>
        <balance>198187.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>145255.52</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FFML 2004-FF1 B1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>32027NGE5</cusip>
        <identifiers>
          <isin value="US32027NGE58"/>
        </identifiers>
        <balance>192056.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>167149.03</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHAMS 2004-AA5 2A1</name>
        <lei>TF3RXI1ZB1TQ30H9JV10</lei>
        <title>CMO</title>
        <cusip>32051GBT1</cusip>
        <identifiers>
          <isin value="US32051GBT13"/>
        </identifiers>
        <balance>765838.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>760103.49</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.29</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHAMS 2005-AA12 3A1</name>
        <lei>TF3RXI1ZB1TQ30H9JV10</lei>
        <title>CMO</title>
        <cusip>32051GQ99</cusip>
        <identifiers>
          <isin value="US32051GQ990"/>
        </identifiers>
        <balance>27329.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>23514.68</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.51</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHAMS 2006-AA4 1A1</name>
        <lei>TF3RXI1ZB1TQ30H9JV10</lei>
        <title>CMO</title>
        <cusip>32052NAA7</cusip>
        <identifiers>
          <isin value="US32052NAA72"/>
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        <balance>68958.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>57767</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHAMS 2007-FA2</name>
        <lei>549300PO80CHJL6XUB79</lei>
        <title>CMO</title>
        <cusip>32053LAQ5</cusip>
        <identifiers>
          <isin value="US32053LAQ59"/>
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        <balance>210217.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>167951.36</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHASI 2007-4 1A1</name>
        <lei>TF3RXI1ZB1TQ30H9JV10</lei>
        <title>CMO</title>
        <cusip>32056CAA7</cusip>
        <identifiers>
          <isin value="US32056CAA71"/>
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        <balance>342116</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>238285.63</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR 2005-AR4</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>CMO</title>
        <cusip>362341FR5</cusip>
        <identifiers>
          <isin value="US362341FR55"/>
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        <balance>310989.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>314692.84</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.34</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR 2005-8F</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>CMO</title>
        <cusip>362341WJ4</cusip>
        <identifiers>
          <isin value="US362341WJ47"/>
        </identifiers>
        <balance>34802.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>34680.55</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR 2004-8F B1</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>CMO</title>
        <cusip>36242DCN1</cusip>
        <identifiers>
          <isin value="US36242DCN12"/>
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        <balance>42461.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>36237.69</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MTG TR 2004-15F</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>CMO</title>
        <cusip>36242DRE5</cusip>
        <identifiers>
          <isin value="US36242DRE57"/>
        </identifiers>
        <balance>21204.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>21181.1</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HVMLT 2004-7 2A2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>41161PGH0</cusip>
        <identifiers>
          <isin value="US41161PGH01"/>
        </identifiers>
        <balance>41700.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>39791.75</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HVMLT 2006-2 1A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>41161PJ38</cusip>
        <identifiers>
          <isin value="US41161PJ380"/>
        </identifiers>
        <balance>17700.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>9854.29</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.14</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HVMLT 2006-6</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>41161UAE2</cusip>
        <identifiers>
          <isin value="US41161UAE29"/>
        </identifiers>
        <balance>78900.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>69850.6</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MTG LN</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>41165AAB8</cusip>
        <identifiers>
          <isin value="US41165AAB89"/>
        </identifiers>
        <balance>203250.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>171643.02</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.36</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INHEL 2002-B</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>456606DL3</cusip>
        <identifiers>
          <isin value="US456606DL38"/>
        </identifiers>
        <balance>1337600</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1314144.38</valUSD>
        <pctVal>0.03</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.58</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC MBS 2004-IP2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>45660LAS8</cusip>
        <identifiers>
          <isin value="US45660LAS88"/>
        </identifiers>
        <balance>78666.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>77581.38</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDX 2005-AR23 3A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>45660LF53</cusip>
        <identifiers>
          <isin value="US45660LF533"/>
        </identifiers>
        <balance>1079630.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>964200.04</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.11</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDX 2004-AR9 1A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>45660N3N3</cusip>
        <identifiers>
          <isin value="US45660N3N36"/>
        </identifiers>
        <balance>325342.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>351088.94</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.97</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC MBS 2004-AR</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>45660NX75</cusip>
        <identifiers>
          <isin value="US45660NX755"/>
        </identifiers>
        <balance>119994.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>118221.97</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDA 2006-AR2 4A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>45661SAD5</cusip>
        <identifiers>
          <isin value="US45661SAD53"/>
        </identifiers>
        <balance>39602.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>37027.52</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMMT 2004-A1 2A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>466247BM4</cusip>
        <identifiers>
          <isin value="US466247BM41"/>
        </identifiers>
        <balance>5461.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>5296.41</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.24</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ACCEPT</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>466247PA5</cusip>
        <identifiers>
          <isin value="US466247PA56"/>
        </identifiers>
        <balance>82974.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>82837.99</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMMT 2005-A6</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>466247TU7</cusip>
        <identifiers>
          <isin value="US466247TU74"/>
        </identifiers>
        <balance>179660.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>179313.74</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.47</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mtg 2006</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>46628BBF6</cusip>
        <identifiers>
          <isin value="US46628BBF67"/>
        </identifiers>
        <balance>349130.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>269643.53</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.84</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LMT 2005-3 1A3</name>
        <lei>549300FDK6ZP3YIHRJ47</lei>
        <title>CMO</title>
        <cusip>52520MDP5</cusip>
        <identifiers>
          <isin value="US52520MDP59"/>
        </identifiers>
        <balance>17476.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>13541.08</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST</name>
        <lei>549300FDK6ZP3YIHRJ47</lei>
        <title>CMO</title>
        <cusip>525229BD1</cusip>
        <identifiers>
          <isin value="US525229BD13"/>
        </identifiers>
        <balance>576859.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>494695.91</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.41</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MTG TR</name>
        <lei>549300FDK6ZP3YIHRJ47</lei>
        <title>CMO</title>
        <cusip>52522XAA5</cusip>
        <identifiers>
          <isin value="US52522XAA54"/>
        </identifiers>
        <balance>21765.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>23549.89</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARM 2003-3 3A4</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576433EE2</cusip>
        <identifiers>
          <isin value="US576433EE22"/>
        </identifiers>
        <balance>53453.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>52038.21</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARM 2006-0A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576433G42</cusip>
        <identifiers>
          <isin value="US576433G423"/>
        </identifiers>
        <balance>184211.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>151635.37</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.38</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARM 2004-10 2A2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576433SW7</cusip>
        <identifiers>
          <isin value="US576433SW73"/>
        </identifiers>
        <balance>10087.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>9887.88</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARM 2005-2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576433XX9</cusip>
        <identifiers>
          <isin value="US576433XX91"/>
        </identifiers>
        <balance>1097665.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1073041.75</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALT 2003-8 3A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576434JU9</cusip>
        <identifiers>
          <isin value="US576434JU91"/>
        </identifiers>
        <balance>4746.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>4845.53</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARM 2006-2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>576438AF2</cusip>
        <identifiers>
          <isin value="US576438AF20"/>
        </identifiers>
        <balance>123973.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>118921.17</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.42</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MABS 2004-OPT2 M4</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>57643LEZ5</cusip>
        <identifiers>
          <isin value="US57643LEZ58"/>
        </identifiers>
        <balance>132935.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>129801.19</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR 2004-9 3A7</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>57643MFP4</cusip>
        <identifiers>
          <isin value="US57643MFP41"/>
        </identifiers>
        <balance>153691.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>145512.13</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLMI 2003-A4</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>589929W87</cusip>
        <identifiers>
          <isin value="US589929W877"/>
        </identifiers>
        <balance>12897.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>12571.4</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLMI 2004-A1 1A</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>59020UAA3</cusip>
        <identifiers>
          <isin value="US59020UAA34"/>
        </identifiers>
        <balance>27079.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>26609.95</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLMI 2004-A1 FLOAT</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>59020UBM6</cusip>
        <identifiers>
          <isin value="US59020UBM62"/>
        </identifiers>
        <balance>692217.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>625893.04</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC 2004-B B3</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>CMO</title>
        <cusip>59020UCD5</cusip>
        <identifiers>
          <isin value="US59020UCD54"/>
        </identifiers>
        <balance>115892.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>70025.27</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MSAC 2004-NC8 M6</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>CMO</title>
        <cusip>61744CHU3</cusip>
        <identifiers>
          <isin value="US61744CHU36"/>
        </identifiers>
        <balance>333515.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>332273</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MSDWC 2003-NC1 M2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61746WYV6</cusip>
        <identifiers>
          <isin value="US61746WYV61"/>
        </identifiers>
        <balance>230148.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>236048.5</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.26</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAP 2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61748HBJ9</cusip>
        <identifiers>
          <isin value="US61748HBJ95"/>
        </identifiers>
        <balance>291791.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>285940.06</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.64</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>5493001INKZRJR8O7L63</lei>
        <title>CMO</title>
        <cusip>61748HQY0</cusip>
        <identifiers>
          <isin value="US61748HQY08"/>
        </identifiers>
        <balance>506750.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>461446.11</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MSM 2006-6AR</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61749CAF8</cusip>
        <identifiers>
          <isin value="US61749CAF86"/>
        </identifiers>
        <balance>599116.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>528915.47</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MSAC 2007-NC1 A1</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>CMO</title>
        <cusip>617505AA0</cusip>
        <identifiers>
          <isin value="US617505AA09"/>
        </identifiers>
        <balance>63092.4</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>32736.92</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORTGAGE IT TR</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61915RAF3</cusip>
        <identifiers>
          <isin value="US61915RAF38"/>
        </identifiers>
        <balance>274968.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>271993.89</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.82</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MHL 2005-3 B1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61915RAR7</cusip>
        <identifiers>
          <isin value="US61915RAR75"/>
        </identifiers>
        <balance>157980.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>153349.36</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MHL 2005-3 B2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>61915RAS5</cusip>
        <identifiers>
          <isin value="US61915RAS58"/>
        </identifiers>
        <balance>181322.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>183419.5</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.73</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAA 2004-AP1 A5</name>
        <lei>549300B3CEAHYG7K8164</lei>
        <title>CMO</title>
        <cusip>65535VCM8</cusip>
        <identifiers>
          <isin value="US65535VCM81"/>
        </identifiers>
        <balance>270033.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>270101.88</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Oakwood Mortgage Inv</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>67087TDC2</cusip>
        <identifiers>
          <isin value="US67087TDC27"/>
        </identifiers>
        <balance>88216.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>80960.8</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.43</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPMAC 2005-2 M8</name>
        <lei>549300M6D7LKW2BFQI76</lei>
        <title>CMO</title>
        <cusip>68383NBD4</cusip>
        <identifiers>
          <isin value="US68383NBD49"/>
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        <balance>845789.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>779033.86</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PHHMC 2008-CIM2 1A1</name>
        <lei>549300DDD1YQ8EIAT278</lei>
        <title>CMO</title>
        <cusip>69338AAA3</cusip>
        <identifiers>
          <isin value="US69338AAA34"/>
        </identifiers>
        <balance>157155.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>152541.95</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.42</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RASC 2006-EMX9</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>74924VAE9</cusip>
        <identifiers>
          <isin value="US74924VAE92"/>
        </identifiers>
        <balance>223808.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>191477.64</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.43</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RBSGC 2007-B 2A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>74927XAF9</cusip>
        <identifiers>
          <isin value="US74927XAF96"/>
        </identifiers>
        <balance>6651.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>5539.58</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RALI 2005-QS7 CB</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>761118AH1</cusip>
        <identifiers>
          <isin value="US761118AH15"/>
        </identifiers>
        <balance>363095.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>340104.19</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RALI 2005-QS17 A9</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>761118PY8</cusip>
        <identifiers>
          <isin value="US761118PY82"/>
        </identifiers>
        <balance>86451.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>81050.34</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Asset Mt</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>76112BUZ1</cusip>
        <identifiers>
          <isin value="US76112BUZ11"/>
        </identifiers>
        <balance>328837</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>230770.79</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RAST 2007-A6</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>76114CAC0</cusip>
        <identifiers>
          <isin value="US76114CAC01"/>
        </identifiers>
        <balance>140697.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>112996.99</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SALOMON BROS MTG</name>
        <lei>549300VB2N1G56GWKB41</lei>
        <title>CMO</title>
        <cusip>79549AYU7</cusip>
        <identifiers>
          <isin value="US79549AYU77"/>
        </identifiers>
        <balance>104570.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>39960.6</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SAST 2004-2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>805564QB0</cusip>
        <identifiers>
          <isin value="US805564QB09"/>
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        <balance>774031.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>752416.24</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.97</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>863579YS1</cusip>
        <identifiers>
          <isin value="US863579YS10"/>
        </identifiers>
        <balance>292123.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>262915.1</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SEC</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>86359B7K1</cusip>
        <identifiers>
          <isin value="US86359B7K13"/>
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        <balance>70498.7</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>68425.57</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.67</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>86360JAA9</cusip>
        <identifiers>
          <isin value="US86360JAA97"/>
        </identifiers>
        <balance>139469.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>116793.02</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.38</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UCFC Home Equity Ln</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>90263BHE1</cusip>
        <identifiers>
          <isin value="US90263BHE11"/>
        </identifiers>
        <balance>472820</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>419535.7</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2003-AR4 A7</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>929227L95</cusip>
        <identifiers>
          <isin value="US929227L951"/>
        </identifiers>
        <balance>37541.6</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>36514.29</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.72</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2002 AR6-B1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>929227QC3</cusip>
        <identifiers>
          <isin value="US929227QC39"/>
        </identifiers>
        <balance>448655.1</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>422675.29</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU Mtg Cert 2002</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>929227XB7</cusip>
        <identifiers>
          <isin value="US929227XB72"/>
        </identifiers>
        <balance>289644.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>270599.9</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTG CERT</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>92922FLD8</cusip>
        <identifiers>
          <isin value="US92922FLD86"/>
        </identifiers>
        <balance>23106.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>21836.43</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.84</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2007-HY</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>92925VAJ9</cusip>
        <identifiers>
          <isin value="US92925VAJ98"/>
        </identifiers>
        <balance>295555.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>266569.44</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WACHOVIA MTG LN TR</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>CMO</title>
        <cusip>92977YBN0</cusip>
        <identifiers>
          <isin value="US92977YBN04"/>
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        <balance>223756</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>198843.16</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.04</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2006-AR10 3A2</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>93363EAJ4</cusip>
        <identifiers>
          <isin value="US93363EAJ47"/>
        </identifiers>
        <balance>31591.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>28069.71</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2006-AR12 2A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>93363NAH8</cusip>
        <identifiers>
          <isin value="US93363NAH89"/>
        </identifiers>
        <balance>181425</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>165558.2</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.22</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU 2006-AR14 1A</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>93363PAD2</cusip>
        <identifiers>
          <isin value="US93363PAD24"/>
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        <balance>210107.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>180935.63</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.27</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MO</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>9393366P3</cusip>
        <identifiers>
          <isin value="US9393366P31"/>
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        <balance>8651.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>8576.69</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MORTGAGE</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>939336DA8</cusip>
        <identifiers>
          <isin value="US939336DA82"/>
        </identifiers>
        <balance>167494.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>165056.24</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.11</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WMALT 2007-HY1 A1</name>
        <lei>N/A</lei>
        <title>CMO</title>
        <cusip>93936AAA9</cusip>
        <identifiers>
          <isin value="US93936AAA97"/>
        </identifiers>
        <balance>20121.3</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>11245.2</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.26</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMER AIRLN 13-1 B</name>
        <lei>N/A</lei>
        <title>CORPBOND</title>
        <cusip>023766AD0</cusip>
        <identifiers>
          <isin value="US023766AD01"/>
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        <balance>547502.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>435264.46</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.63</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMER AIRLN PT TRS</name>
        <lei>213800ZIRB79BE5XQM68</lei>
        <title>CORPBOND</title>
        <cusip>023767AA4</cusip>
        <identifiers>
          <isin value="US023767AA45"/>
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        <balance>379158.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>307118.63</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACCREDITED MORT LOAN</name>
        <lei>N/A</lei>
        <title>MBS</title>
        <cusip>004375AJ0</cusip>
        <identifiers>
          <isin value="US004375AJ08"/>
        </identifiers>
        <balance>328582.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>303354.2</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.18</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AEGIS ASSET BACKED</name>
        <lei>5493008B2TU3S6QE1E12</lei>
        <title>MBS</title>
        <cusip>00764MCW5</cusip>
        <identifiers>
          <isin value="US00764MCW55"/>
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        <balance>254814</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>253047.33</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSFB 2004-AR3 CB2</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>MBS</title>
        <cusip>22541SEJ3</cusip>
        <identifiers>
          <isin value="US22541SEJ33"/>
        </identifiers>
        <balance>849791.8</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>636267.77</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTG</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>MBS</title>
        <cusip>46630KAU0</cusip>
        <identifiers>
          <isin value="US46630KAU07"/>
        </identifiers>
        <balance>500000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>393252.1</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN 2010-C2</name>
        <lei>5493008B2TU3S6QE1E12</lei>
        <title>MBS</title>
        <cusip>46635GAL4</cusip>
        <identifiers>
          <isin value="US46635GAL41"/>
        </identifiers>
        <balance>1000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1002258.4</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.07</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORT INVESTORS</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>MBS</title>
        <cusip>59020UNF8</cusip>
        <identifiers>
          <isin value="US59020UNF83"/>
        </identifiers>
        <balance>1022743.2</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>904082.47</valUSD>
        <pctVal>0.02</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.87</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORTGAGEIT TRUST</name>
        <lei>N/A</lei>
        <title>MBS</title>
        <cusip>61915RBY1</cusip>
        <identifiers>
          <isin value="US61915RBY18"/>
        </identifiers>
        <balance>323813.9</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>285344.14</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fidelity Investments</name>
        <lei>6X064LF7Y6B4DKF2GZ26</lei>
        <title>MONEYMKT</title>
        <cusip>316175108</cusip>
        <identifiers>
          <other otherDesc="Ticker" value="FIGXX"/>
        </identifiers>
        <balance>2911863.5</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>2911863.52</valUSD>
        <pctVal>0.06</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerConditional desc="Money Market" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PREFERRED APT COMNTY</name>
        <lei>549300KTZLVOW5TLLN89</lei>
        <title>PREFSTCK</title>
        <cusip>74063B302</cusip>
        <identifiers>
          <isin value="US74063B3024"/>
        </identifiers>
        <balance>500</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>500000</valUSD>
        <pctVal>0.01</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>US TREASURY FLOAT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASNOT</title>
        <cusip>912828YN4</cusip>
        <identifiers>
          <isin value="US912828YN43"/>
        </identifiers>
        <balance>2000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>2006064.2</valUSD>
        <pctVal>0.04</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2020-07-14</ncom:dateSigned>
      <ncom:nameOfApplicant>Starboard Investment Trust</ncom:nameOfApplicant>
      <ncom:signature>Ashley Lanham</ncom:signature>
      <ncom:signerName>Ashley Lanham</ncom:signerName>
      <ncom:title>Treasurer/PFO</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
