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value="CGCMT"/></identifiers><balance>41077181</balance><units>PA</units><curCd>USD</curCd><valUSD>1824722</valUSD><pctVal>0.073</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2051-06-10</maturityDt><couponKind>Variable</couponKind><annualizedRt>0.753205</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae - CAS</name><lei>N/A</lei><title>Connecticut Avenue Securities Trust 2019-R03</title><cusip>20753MAF5</cusip><identifiers><isin value="US20753MAF59"/><ticker value="CAS"/><other otherDesc="BHL14C0" 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value="G2SF"/></identifiers><balance>3093000</balance><units>PA</units><curCd>USD</curCd><valUSD>3313067</valUSD><pctVal>0.132</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-02-20</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>FREMF Mortgage Trust</name><lei>N/A</lei><title>FREMF Mortgage Trust 2018-KF45</title><cusip>30296TAG1</cusip><identifiers><isin value="US30296TAG13"/><ticker value="FREMF"/><other otherDesc="BKPNQ83" 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value="FR"/></identifiers><balance>219625</balance><units>PA</units><curCd>USD</curCd><valUSD>234357</valUSD><pctVal>0.009</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2033-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131XUSX6</cusip><identifiers><isin value="US3131XUSX69"/><ticker value="FR"/></identifiers><balance>6108</balance><units>PA</units><curCd>USD</curCd><valUSD>6573</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-07-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131XXTP6</cusip><identifiers><isin value="US3131XXTP65"/><ticker value="FR"/></identifiers><balance>19395</balance><units>PA</units><curCd>USD</curCd><valUSD>20529</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-09-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131XXYA3</cusip><identifiers><isin value="US3131XXYA32"/><ticker value="FR"/></identifiers><balance>9759</balance><units>PA</units><curCd>USD</curCd><valUSD>10330</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-09-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131XYPY9</cusip><identifiers><isin value="US3131XYPY91"/><ticker value="FR"/></identifiers><balance>170734</balance><units>PA</units><curCd>USD</curCd><valUSD>182359</valUSD><pctVal>0.007</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131XYYZ6</cusip><identifiers><isin value="US3131XYYZ65"/><ticker value="FR"/></identifiers><balance>6810</balance><units>PA</units><curCd>USD</curCd><valUSD>7273</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-12-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y06M9</cusip><identifiers><isin value="US3131Y06M97"/><ticker value="FR"/></identifiers><balance>3590</balance><units>PA</units><curCd>USD</curCd><valUSD>3867</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-04-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y0KS0</cusip><identifiers><isin value="US3131Y0KS01"/><ticker value="FR"/></identifiers><balance>6787</balance><units>PA</units><curCd>USD</curCd><valUSD>7232</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-02-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y0KU5</cusip><identifiers><isin value="US3131Y0KU56"/><ticker value="FR"/></identifiers><balance>5384</balance><units>PA</units><curCd>USD</curCd><valUSD>5737</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-02-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y4LZ5</cusip><identifiers><isin value="US3131Y4LZ56"/><ticker value="FR"/></identifiers><balance>771996</balance><units>PA</units><curCd>USD</curCd><valUSD>804484</valUSD><pctVal>0.032</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-06-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y6V71</cusip><identifiers><isin value="US3131Y6V711"/><ticker value="FR"/></identifiers><balance>8300</balance><units>PA</units><curCd>USD</curCd><valUSD>8997</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-02-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y6VU0</cusip><identifiers><isin value="US3131Y6VU08"/><ticker value="FR"/></identifiers><balance>7761</balance><units>PA</units><curCd>USD</curCd><valUSD>8274</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3131Y6WK1</cusip><identifiers><isin value="US3131Y6WK17"/><ticker value="FR"/></identifiers><balance>4465</balance><units>PA</units><curCd>USD</curCd><valUSD>4761</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Fannie Mae Pool</title><cusip>3131YAV98</cusip><identifiers><isin value="US3131YAV985"/><ticker value="FR"/></identifiers><balance>1271092</balance><units>PA</units><curCd>USD</curCd><valUSD>1388049</valUSD><pctVal>0.055</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-12-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131YBA57</cusip><identifiers><isin value="US3131YBA573"/><ticker value="FR"/></identifiers><balance>3298111</balance><units>PA</units><curCd>USD</curCd><valUSD>3580863</valUSD><pctVal>0.142</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-04-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131YCRQ1</cusip><identifiers><isin value="US3131YCRQ11"/><ticker value="FR"/></identifiers><balance>379967</balance><units>PA</units><curCd>USD</curCd><valUSD>406850</valUSD><pctVal>0.016</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131YDFA7</cusip><identifiers><isin value="US3131YDFA79"/><ticker value="FR"/></identifiers><balance>9297848</balance><units>PA</units><curCd>USD</curCd><valUSD>9952023</valUSD><pctVal>0.396</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31329NG36</cusip><identifiers><isin value="US31329NG360"/><ticker value="FR"/></identifiers><balance>30709</balance><units>PA</units><curCd>USD</curCd><valUSD>32683</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132A4C89</cusip><identifiers><isin value="US3132A4C895"/><ticker value="FR"/></identifiers><balance>24795</balance><units>PA</units><curCd>USD</curCd><valUSD>29611</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2040-04-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>6</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132A5AL9</cusip><identifiers><isin value="US3132A5AL94"/><ticker value="FR"/></identifiers><balance>172966</balance><units>PA</units><curCd>USD</curCd><valUSD>184635</valUSD><pctVal>0.007</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132A5DB8</cusip><identifiers><isin value="US3132A5DB85"/><ticker value="FR"/></identifiers><balance>6166</balance><units>PA</units><curCd>USD</curCd><valUSD>6568</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2045-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132A8GL7</cusip><identifiers><isin value="US3132A8GL79"/><ticker value="FR"/></identifiers><balance>2722331</balance><units>PA</units><curCd>USD</curCd><valUSD>2891144</valUSD><pctVal>0.115</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2031-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132ACLS7</cusip><identifiers><isin value="US3132ACLS79"/><ticker value="FR"/></identifiers><balance>433814</balance><units>PA</units><curCd>USD</curCd><valUSD>470258</valUSD><pctVal>0.019</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-12-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132ACSX9</cusip><identifiers><isin value="US3132ACSX91"/><ticker value="FN"/></identifiers><balance>82442</balance><units>PA</units><curCd>USD</curCd><valUSD>90064</valUSD><pctVal>0.004</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-12-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132ADHW1</cusip><identifiers><isin value="US3132ADHW11"/><ticker value="FR"/></identifiers><balance>5733</balance><units>PA</units><curCd>USD</curCd><valUSD>6398</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132ADJC3</cusip><identifiers><isin value="US3132ADJC39"/><ticker value="FR"/></identifiers><balance>22631</balance><units>PA</units><curCd>USD</curCd><valUSD>24532</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-02-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132ADY69</cusip><identifiers><isin value="US3132ADY692"/><ticker value="FR"/></identifiers><balance>14386</balance><units>PA</units><curCd>USD</curCd><valUSD>15777</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3132AED78</cusip><identifiers><isin value="US3132AED785"/><ticker value="FR"/></identifiers><balance>8094091</balance><units>PA</units><curCd>USD</curCd><valUSD>8637042</valUSD><pctVal>0.344</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Gold Pool</title><cusip>3132H7F41</cusip><identifiers><isin value="US3132H7F415"/><ticker value="FG"/></identifiers><balance>374704</balance><units>PA</units><curCd>USD</curCd><valUSD>406873</valUSD><pctVal>0.016</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-01-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>31334XYL7</cusip><identifiers><isin value="US31334XYL71"/><ticker value="FR"/></identifiers><balance>5390832</balance><units>PA</units><curCd>USD</curCd><valUSD>5695281</valUSD><pctVal>0.227</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-08-01</maturityDt><couponKind>Fixed</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31339SSN6</cusip><identifiers><isin value="US31339SSN61"/><ticker value="FR"/></identifiers><balance>837380</balance><units>PA</units><curCd>USD</curCd><valUSD>876131</valUSD><pctVal>0.035</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31339UQD5</cusip><identifiers><isin value="US31339UQD53"/><ticker value="FR"/></identifiers><balance>394989</balance><units>PA</units><curCd>USD</curCd><valUSD>413268</valUSD><pctVal>0.016</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31339USH4</cusip><identifiers><isin value="US31339USH40"/><ticker value="FR"/></identifiers><balance>69204</balance><units>PA</units><curCd>USD</curCd><valUSD>72406</valUSD><pctVal>0.003</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133A0G73</cusip><identifiers><isin value="US3133A0G737"/><ticker value="FR"/></identifiers><balance>1887855</balance><units>PA</units><curCd>USD</curCd><valUSD>1975219</valUSD><pctVal>0.079</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-12-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3133A0KK9</cusip><identifiers><isin value="US3133A0KK96"/><ticker value="FR"/></identifiers><balance>3190985</balance><units>PA</units><curCd>USD</curCd><valUSD>3338654</valUSD><pctVal>0.133</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-12-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3133A1CP5</cusip><identifiers><isin value="US3133A1CP58"/><ticker value="FR"/></identifiers><balance>594316</balance><units>PA</units><curCd>USD</curCd><valUSD>626106</valUSD><pctVal>0.025</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2050-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>2.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3133A2HT0</cusip><identifiers><isin value="US3133A2HT09"/><ticker value="FR"/></identifiers><balance>2261659</balance><units>PA</units><curCd>USD</curCd><valUSD>2381336</valUSD><pctVal>0.095</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2050-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3133G62Q7</cusip><identifiers><isin value="US3133G62Q78"/><ticker value="FR"/></identifiers><balance>261762</balance><units>PA</units><curCd>USD</curCd><valUSD>278357</valUSD><pctVal>0.011</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2034-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>3133G62T1</cusip><identifiers><isin value="US3133G62T18"/><ticker value="FR"/></identifiers><balance>619863</balance><units>PA</units><curCd>USD</curCd><valUSD>662934</valUSD><pctVal>0.026</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2034-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31346YLW1</cusip><identifiers><isin value="US31346YLW11"/><ticker value="FR"/></identifiers><balance>372070</balance><units>PA</units><curCd>USD</curCd><valUSD>389288</valUSD><pctVal>0.015</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>31346YMN0</cusip><identifiers><isin value="US31346YMN03"/><ticker value="FR"/></identifiers><balance>1518558</balance><units>PA</units><curCd>USD</curCd><valUSD>1588832</valUSD><pctVal>0.063</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Freddie Mac Pool</title><cusip>31346YPV9</cusip><identifiers><isin value="US31346YPV91"/><ticker value="FR"/></identifiers><balance>762596</balance><units>PA</units><curCd>USD</curCd><valUSD>797886</valUSD><pctVal>0.032</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-12-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae REMICS</title><cusip>3136B1N26</cusip><identifiers><isin value="US3136B1N265"/><ticker value="FNR"/></identifiers><balance>28377</balance><units>PA</units><curCd>USD</curCd><valUSD>30461</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-25</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae REMICS</title><cusip>3136B2SN3</cusip><identifiers><isin value="US3136B2SN37"/><ticker value="FNR"/><other otherDesc="BFZ2KB6" value="Sedol"/></identifiers><balance>13622461</balance><units>PA</units><curCd>USD</curCd><valUSD>2364309</valUSD><pctVal>0.094</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-08-25</maturityDt><couponKind>Floating</couponKind><annualizedRt>5.90187</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138EM3U3</cusip><identifiers><isin value="US3138EM3U33"/><ticker value="FN"/></identifiers><balance>17231</balance><units>PA</units><curCd>USD</curCd><valUSD>19230</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-04-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138ENRH4</cusip><identifiers><isin value="US3138ENRH40"/><ticker value="FN"/></identifiers><balance>6414</balance><units>PA</units><curCd>USD</curCd><valUSD>7369</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138ENS83</cusip><identifiers><isin value="US3138ENS833"/><ticker value="FN"/></identifiers><balance>11900</balance><units>PA</units><curCd>USD</curCd><valUSD>13321</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138EPHU1</cusip><identifiers><isin value="US3138EPHU19"/><ticker value="FN"/></identifiers><balance>9776</balance><units>PA</units><curCd>USD</curCd><valUSD>11233</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2045-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138EQWJ7</cusip><identifiers><isin value="US3138EQWJ71"/><ticker value="FN"/></identifiers><balance>6127</balance><units>PA</units><curCd>USD</curCd><valUSD>6827</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2045-12-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138ETLU8</cusip><identifiers><isin value="US3138ETLU84"/><ticker value="FN"/></identifiers><balance>4319212</balance><units>PA</units><curCd>USD</curCd><valUSD>4603315</valUSD><pctVal>0.183</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2045-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138W7HB3</cusip><identifiers><isin value="US3138W7HB31"/><ticker value="FN"/></identifiers><balance>2756591</balance><units>PA</units><curCd>USD</curCd><valUSD>2937910</valUSD><pctVal>0.117</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138WHND0</cusip><identifiers><isin value="US3138WHND02"/><ticker value="FN"/></identifiers><balance>23729</balance><units>PA</units><curCd>USD</curCd><valUSD>26069</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-07-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138WJP93</cusip><identifiers><isin value="US3138WJP938"/><ticker value="FN"/></identifiers><balance>351276</balance><units>PA</units><curCd>USD</curCd><valUSD>369502</valUSD><pctVal>0.015</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3138WQJB9</cusip><identifiers><isin value="US3138WQJB90"/><ticker value="FN"/></identifiers><balance>3005</balance><units>PA</units><curCd>USD</curCd><valUSD>3203</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae REMICS</title><cusip>31398NTM6</cusip><identifiers><isin value="US31398NTM64"/><ticker value="FNR"/><other otherDesc="BHZSBK4" 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value="FN"/></identifiers><balance>3579</balance><units>PA</units><curCd>USD</curCd><valUSD>3888</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNBA1</cusip><identifiers><isin value="US3140FNBA16"/><ticker value="FN"/></identifiers><balance>1265</balance><units>PA</units><curCd>USD</curCd><valUSD>1356</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNBB9</cusip><identifiers><isin value="US3140FNBB98"/><ticker value="FN"/></identifiers><balance>6344</balance><units>PA</units><curCd>USD</curCd><valUSD>6892</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNBM5</cusip><identifiers><isin value="US3140FNBM53"/><ticker value="FN"/></identifiers><balance>4037</balance><units>PA</units><curCd>USD</curCd><valUSD>4386</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNCL6</cusip><identifiers><isin value="US3140FNCL61"/><ticker value="FN"/></identifiers><balance>4511</balance><units>PA</units><curCd>USD</curCd><valUSD>4837</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNCM4</cusip><identifiers><isin value="US3140FNCM45"/><ticker value="FN"/></identifiers><balance>3325</balance><units>PA</units><curCd>USD</curCd><valUSD>3612</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FNCY8</cusip><identifiers><isin value="US3140FNCY82"/><ticker value="FN"/></identifiers><balance>3703</balance><units>PA</units><curCd>USD</curCd><valUSD>4023</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FPAS8</cusip><identifiers><isin value="US3140FPAS80"/><ticker value="FN"/></identifiers><balance>1568067</balance><units>PA</units><curCd>USD</curCd><valUSD>1755184</valUSD><pctVal>0.07</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FXF72</cusip><identifiers><isin value="US3140FXF725"/><ticker value="FN"/></identifiers><balance>34563</balance><units>PA</units><curCd>USD</curCd><valUSD>37184</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2057-06-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FXFH0</cusip><identifiers><isin value="US3140FXFH05"/><ticker value="FN"/></identifiers><balance>7723970</balance><units>PA</units><curCd>USD</curCd><valUSD>8312323</valUSD><pctVal>0.331</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2057-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140FXFJ6</cusip><identifiers><isin value="US3140FXFJ60"/><ticker value="FN"/></identifiers><balance>14005672</balance><units>PA</units><curCd>USD</curCd><valUSD>15518367</valUSD><pctVal>0.617</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2057-02-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRU77</cusip><identifiers><isin value="US3140GRU773"/><ticker value="FN"/></identifiers><balance>2865</balance><units>PA</units><curCd>USD</curCd><valUSD>3194</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRU85</cusip><identifiers><isin value="US3140GRU856"/><ticker value="FN"/></identifiers><balance>2550</balance><units>PA</units><curCd>USD</curCd><valUSD>2824</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRU93</cusip><identifiers><isin value="US3140GRU930"/><ticker value="FN"/></identifiers><balance>2300</balance><units>PA</units><curCd>USD</curCd><valUSD>2538</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRV68</cusip><identifiers><isin value="US3140GRV680"/><ticker value="FN"/></identifiers><balance>1926</balance><units>PA</units><curCd>USD</curCd><valUSD>2147</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRV76</cusip><identifiers><isin value="US3140GRV763"/><ticker value="FN"/></identifiers><balance>1405</balance><units>PA</units><curCd>USD</curCd><valUSD>1556</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GRV84</cusip><identifiers><isin value="US3140GRV847"/><ticker value="FN"/></identifiers><balance>1904</balance><units>PA</units><curCd>USD</curCd><valUSD>2101</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GS2N1</cusip><identifiers><isin value="US3140GS2N15"/><ticker value="FN"/></identifiers><balance>1288</balance><units>PA</units><curCd>USD</curCd><valUSD>1381</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-06-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GSKE1</cusip><identifiers><isin value="US3140GSKE15"/><ticker value="FN"/></identifiers><balance>6467</balance><units>PA</units><curCd>USD</curCd><valUSD>6846</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GU2A4</cusip><identifiers><isin value="US3140GU2A40"/><ticker value="FN"/></identifiers><balance>1953</balance><units>PA</units><curCd>USD</curCd><valUSD>2094</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-06-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GU2C0</cusip><identifiers><isin value="US3140GU2C06"/><ticker value="FN"/></identifiers><balance>3774</balance><units>PA</units><curCd>USD</curCd><valUSD>4100</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GUZ75</cusip><identifiers><isin value="US3140GUZ750"/><ticker value="FN"/></identifiers><balance>1973</balance><units>PA</units><curCd>USD</curCd><valUSD>2116</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GVWA9</cusip><identifiers><isin value="US3140GVWA93"/><ticker value="FN"/></identifiers><balance>5151</balance><units>PA</units><curCd>USD</curCd><valUSD>5519</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GXCE9</cusip><identifiers><isin value="US3140GXCE91"/><ticker value="FN"/></identifiers><balance>2365</balance><units>PA</units><curCd>USD</curCd><valUSD>2535</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GXCG4</cusip><identifiers><isin value="US3140GXCG40"/><ticker value="FN"/></identifiers><balance>3797</balance><units>PA</units><curCd>USD</curCd><valUSD>4071</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140GXCH2</cusip><identifiers><isin value="US3140GXCH23"/><ticker value="FN"/></identifiers><balance>5614</balance><units>PA</units><curCd>USD</curCd><valUSD>6098</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H0AJ1</cusip><identifiers><isin value="US3140H0AJ18"/><ticker value="FN"/></identifiers><balance>307938</balance><units>PA</units><curCd>USD</curCd><valUSD>334537</valUSD><pctVal>0.013</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H23A4</cusip><identifiers><isin value="US3140H23A41"/><ticker value="FN"/></identifiers><balance>204661</balance><units>PA</units><curCd>USD</curCd><valUSD>218603</valUSD><pctVal>0.009</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-12-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H23D8</cusip><identifiers><isin value="US3140H23D89"/><ticker value="FN"/></identifiers><balance>4199</balance><units>PA</units><curCd>USD</curCd><valUSD>4469</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-12-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H24V7</cusip><identifiers><isin value="US3140H24V78"/><ticker value="FN"/></identifiers><balance>372589</balance><units>PA</units><curCd>USD</curCd><valUSD>404292</valUSD><pctVal>0.016</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H25H7</cusip><identifiers><isin value="US3140H25H75"/><ticker value="FN"/></identifiers><balance>3380</balance><units>PA</units><curCd>USD</curCd><valUSD>3668</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H25U8</cusip><identifiers><isin value="US3140H25U86"/><ticker value="FN"/></identifiers><balance>5257</balance><units>PA</units><curCd>USD</curCd><valUSD>5704</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H2XS2</cusip><identifiers><isin value="US3140H2XS26"/><ticker value="FN"/></identifiers><balance>2527</balance><units>PA</units><curCd>USD</curCd><valUSD>2710</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H3UU8</cusip><identifiers><isin value="US3140H3UU81"/><ticker value="FN"/></identifiers><balance>913601</balance><units>PA</units><curCd>USD</curCd><valUSD>1008754</valUSD><pctVal>0.04</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H4TX2</cusip><identifiers><isin value="US3140H4TX23"/><ticker value="FN"/></identifiers><balance>2101</balance><units>PA</units><curCd>USD</curCd><valUSD>2253</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-11-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H6B40</cusip><identifiers><isin value="US3140H6B408"/><ticker value="FN"/></identifiers><balance>7165</balance><units>PA</units><curCd>USD</curCd><valUSD>7653</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-01-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H6B57</cusip><identifiers><isin value="US3140H6B572"/><ticker value="FN"/></identifiers><balance>6750</balance><units>PA</units><curCd>USD</curCd><valUSD>7218</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-01-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H6CC1</cusip><identifiers><isin value="US3140H6CC17"/><ticker value="FN"/></identifiers><balance>23776</balance><units>PA</units><curCd>USD</curCd><valUSD>25714</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H6QN2</cusip><identifiers><isin value="US3140H6QN26"/><ticker value="FN"/></identifiers><balance>4769224</balance><units>PA</units><curCd>USD</curCd><valUSD>5133956</valUSD><pctVal>0.204</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-03-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H7NN3</cusip><identifiers><isin value="US3140H7NN36"/><ticker value="FN"/></identifiers><balance>6169</balance><units>PA</units><curCd>USD</curCd><valUSD>6693</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140H7P68</cusip><identifiers><isin value="US3140H7P687"/><ticker 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value="FN"/></identifiers><balance>3868</balance><units>PA</units><curCd>USD</curCd><valUSD>4196</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140HFFE4</cusip><identifiers><isin value="US3140HFFE40"/><ticker value="FN"/></identifiers><balance>9833</balance><units>PA</units><curCd>USD</curCd><valUSD>10602</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-03-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140HFFR5</cusip><identifiers><isin value="US3140HFFR52"/><ticker value="FN"/></identifiers><balance>4553</balance><units>PA</units><curCd>USD</curCd><valUSD>4852</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-03-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140HHNC5</cusip><identifiers><isin value="US3140HHNC57"/><ticker value="FN"/></identifiers><balance>4352</balance><units>PA</units><curCd>USD</curCd><valUSD>4721</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140HHPZ2</cusip><identifiers><isin value="US3140HHPZ25"/><ticker value="FN"/></identifiers><balance>3922</balance><units>PA</units><curCd>USD</curCd><valUSD>4255</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-06-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140HHTP0</cusip><identifiers><isin value="US3140HHTP07"/><ticker value="FN"/></identifiers><balance>16473</balance><units>PA</units><curCd>USD</curCd><valUSD>17535</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140J73V5</cusip><identifiers><isin value="US3140J73V50"/><ticker value="FN"/></identifiers><balance>16256</balance><units>PA</units><curCd>USD</curCd><valUSD>18255</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140J9QR5</cusip><identifiers><isin value="US3140J9QR58"/><ticker value="FN"/></identifiers><balance>34740</balance><units>PA</units><curCd>USD</curCd><valUSD>36700</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140JAPW2</cusip><identifiers><isin value="US3140JAPW23"/><ticker value="FN"/></identifiers><balance>1824888</balance><units>PA</units><curCd>USD</curCd><valUSD>1945998</valUSD><pctVal>0.077</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140JXJ58</cusip><identifiers><isin value="US3140JXJ588"/><ticker value="FN"/></identifiers><balance>612892</balance><units>PA</units><curCd>USD</curCd><valUSD>650557</valUSD><pctVal>0.026</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2049-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140JXSM1</cusip><identifiers><isin value="US3140JXSM17"/><ticker value="FN"/></identifiers><balance>340732</balance><units>PA</units><curCd>USD</curCd><valUSD>362296</valUSD><pctVal>0.014</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2034-10-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140K3A36</cusip><identifiers><isin value="US3140K3A360"/><ticker value="FN"/></identifiers><balance>1347632</balance><units>PA</units><curCd>USD</curCd><valUSD>1419437</valUSD><pctVal>0.056</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2050-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>2.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140QCEU6</cusip><identifiers><isin value="US3140QCEU68"/><ticker value="FN"/></identifiers><balance>68495</balance><units>PA</units><curCd>USD</curCd><valUSD>73904</valUSD><pctVal>0.003</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140X4EJ1</cusip><identifiers><isin value="US3140X4EJ17"/><ticker value="FN"/></identifiers><balance>9093690</balance><units>PA</units><curCd>USD</curCd><valUSD>9590667</valUSD><pctVal>0.382</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140X6FJ5</cusip><identifiers><isin value="US3140X6FJ55"/><ticker value="FN"/></identifiers><balance>490974</balance><units>PA</units><curCd>USD</curCd><valUSD>527062</valUSD><pctVal>0.021</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140X6NZ0</cusip><identifiers><isin value="US3140X6NZ06"/><ticker value="FN"/></identifiers><balance>608708</balance><units>PA</units><curCd>USD</curCd><valUSD>653450</valUSD><pctVal>0.026</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-03-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3140X7JB6</cusip><identifiers><isin value="US3140X7JB66"/><ticker value="FN"/></identifiers><balance>14688250</balance><units>PA</units><curCd>USD</curCd><valUSD>15576712</valUSD><pctVal>0.62</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-07-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31416CE69</cusip><identifiers><isin value="US31416CE694"/><ticker value="FN"/><other otherDesc="BZ6CKR1" value="Sedol"/></identifiers><balance>1074</balance><units>PA</units><curCd>USD</curCd><valUSD>1281</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2037-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>6</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31417C6S9</cusip><identifiers><isin value="US31417C6S99"/><ticker value="FN"/></identifiers><balance>2115735</balance><units>PA</units><curCd>USD</curCd><valUSD>2256148</valUSD><pctVal>0.09</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2042-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31417FPB8</cusip><identifiers><isin value="US31417FPB84"/><ticker value="FN"/></identifiers><balance>74606</balance><units>PA</units><curCd>USD</curCd><valUSD>79513</valUSD><pctVal>0.003</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-02-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31418APM4</cusip><identifiers><isin value="US31418APM44"/><ticker value="FN"/><other otherDesc="BGK1XD8" 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value="FN"/></identifiers><balance>778202</balance><units>PA</units><curCd>USD</curCd><valUSD>829390</valUSD><pctVal>0.033</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2043-05-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31418BW93</cusip><identifiers><isin value="US31418BW934"/><ticker value="FN"/></identifiers><balance>715208</balance><units>PA</units><curCd>USD</curCd><valUSD>767779</valUSD><pctVal>0.031</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2045-12-01</maturityDt><couponKind>Fixed</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>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31418CGC2</cusip><identifiers><isin value="US31418CGC29"/><ticker value="FN"/></identifiers><balance>180700</balance><units>PA</units><curCd>USD</curCd><valUSD>190075</valUSD><pctVal>0.008</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Fannie Mae</name><lei>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>31418CS54</cusip><identifiers><isin value="US31418CS542"/><ticker value="FN"/><other otherDesc="BF1GN24" value="Sedol"/></identifiers><balance>159349</balance><units>PA</units><curCd>USD</curCd><valUSD>170850</valUSD><pctVal>0.007</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-01-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae II Pool</title><cusip>36179TSJ5</cusip><identifiers><isin value="US36179TSJ50"/><ticker value="G2"/></identifiers><balance>359434</balance><units>PA</units><curCd>USD</curCd><valUSD>388647</valUSD><pctVal>0.015</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-02-20</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae I Pool</title><cusip>3617AUZW3</cusip><identifiers><isin value="US3617AUZW38"/><ticker value="GN"/></identifiers><balance>10072</balance><units>PA</units><curCd>USD</curCd><valUSD>10950</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-07-15</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae I Pool</title><cusip>3617BA5W9</cusip><identifiers><isin value="US3617BA5W90"/><ticker value="GN"/></identifiers><balance>2085</balance><units>PA</units><curCd>USD</curCd><valUSD>2267</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-08-15</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae I Pool</title><cusip>3617BN3S2</cusip><identifiers><isin value="US3617BN3S26"/><ticker value="GN"/></identifiers><balance>5291</balance><units>PA</units><curCd>USD</curCd><valUSD>5752</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-11-15</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae I Pool</title><cusip>3617BN4U6</cusip><identifiers><isin value="US3617BN4U62"/><ticker value="GN"/></identifiers><balance>6622</balance><units>PA</units><curCd>USD</curCd><valUSD>7200</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2047-12-15</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae II Pool</title><cusip>3617H1CH8</cusip><identifiers><isin value="US3617H1CH89"/><ticker value="G2"/></identifiers><balance>3859</balance><units>PA</units><curCd>USD</curCd><valUSD>4154</valUSD><pctVal>0</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-20</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae II Pool</title><cusip>3617H1CJ4</cusip><identifiers><isin value="US3617H1CJ46"/><ticker value="G2"/></identifiers><balance>15431</balance><units>PA</units><curCd>USD</curCd><valUSD>16610</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2048-05-20</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Ginnie Mae I Pool</title><cusip>3622A2UF7</cusip><identifiers><isin value="US3622A2UF75"/><ticker value="GN"/></identifiers><balance>21195</balance><units>PA</units><curCd>USD</curCd><valUSD>23512</valUSD><pctVal>0.001</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2046-08-15</maturityDt><couponKind>Fixed</couponKind><annualizedRt>4.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Government National Mortgage Association</title><cusip>38378P6S2</cusip><identifiers><isin value="US38378P6S23"/><ticker value="GNR"/></identifiers><balance>676619</balance><units>PA</units><curCd>USD</curCd><valUSD>121267</valUSD><pctVal>0.005</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2044-01-20</maturityDt><couponKind>Floating</couponKind><annualizedRt>5.39375</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Government National Mortgage Association</title><cusip>38378XM65</cusip><identifiers><isin value="US38378XM656"/><ticker value="GNR"/></identifiers><balance>937994</balance><units>PA</units><curCd>USD</curCd><valUSD>218729</valUSD><pctVal>0.009</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2055-10-16</maturityDt><couponKind>Floating</couponKind><annualizedRt>5.99787</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Government National Mortgage A</name><lei>549300M8ZYFG0OCMTT87</lei><title>Government National Mortgage Association</title><cusip>38380JTN8</cusip><identifiers><isin value="US38380JTN80"/><ticker value="GNR"/></identifiers><balance>25964794</balance><units>PA</units><curCd>USD</curCd><valUSD>1147665</valUSD><pctVal>0.046</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2060-01-16</maturityDt><couponKind>Variable</couponKind><annualizedRt>0.46944</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Great Wolf Trust</name><lei>N/A</lei><title>Great Wolf Trust</title><cusip>39152TAN0</cusip><identifiers><isin value="US39152TAN00"/><ticker value="GWT"/><other otherDesc="BJVS9M0" value="Sedol"/></identifiers><balance>13500000</balance><units>PA</units><curCd>USD</curCd><valUSD>12251311</valUSD><pctVal>0.487</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>Y</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2036-12-15</maturityDt><couponKind>Floating</couponKind><annualizedRt>2.88438</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>KNDL Mortgage Trust</name><lei>N/A</lei><title>KNDL Mortgage Trust 2019-KNSQ F</title><cusip>482598AQ2</cusip><identifiers><isin value="US482598AQ24"/><ticker value="KNDL"/></identifiers><balance>2000000</balance><units>PA</units><curCd>USD</curCd><valUSD>1936287</valUSD><pctVal>0.077</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>Y</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2036-05-15</maturityDt><couponKind>Floating</couponKind><annualizedRt>2.15238</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>MMFL Re-REMIC Trust</name><lei>N/A</lei><title>MMFL Re-REMIC Trust 2019-1</title><cusip>55316RAA1</cusip><identifiers><isin value="US55316RAA14"/><ticker value="MMFL"/><other otherDesc="BKKCPP5" value="Sedol"/></identifiers><balance>4163787</balance><units>PA</units><curCd>USD</curCd><valUSD>3840976</valUSD><pctVal>0.153</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>Y</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2024-01-28</maturityDt><couponKind>Floating</couponKind><annualizedRt>1.54813</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>MRCD Mortgage Trust</name><lei>N/A</lei><title>MRCD 2019-MARK Mortgage Trust</title><cusip>55348UAU2</cusip><identifiers><isin value="US55348UAU25"/><ticker value="MRCD"/><other otherDesc="BKMGX39" 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value="RSAS"/></identifiers><balance>11898000</balance><units>PA</units><curCd>USD</curCd><valUSD>11838510</valUSD><pctVal>0.471</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2027-09-01</maturityDt><couponKind>Floating</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>SPECTACLE GARY HOLDING</name><lei>549300V1ELIRK8JURN28</lei><title>Spectacle Gary Holdings LLC</title><cusip>84752PAC2</cusip><identifiers><isin value="US84752PAC23"/><ticker 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value="SPEGAR"/></identifiers><balance>232140</balance><units>PA</units><curCd>USD</curCd><valUSD>219519</valUSD><pctVal>0.009</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2025-12-23</maturityDt><couponKind>Floating</couponKind><annualizedRt>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>SURGERY CENTER HOLDINGS INC</name><lei>54930054EVI5HWPPW113</lei><title>Surgery Center Holdings Inc</title><cusip>86880NAU7</cusip><identifiers><isin value="US86880NAU72"/><ticker 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issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>1</fairValLevel><derivativeInfo><futrDeriv derivCat="FUT"><counterparties><counterpartyName>Goldman Sachs &amp; Co. 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LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><payOffProf>Long</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><ticker value="USZ0"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2020-12-31</expDate><notionalAmt>33913625</notionalAmt><curCd>USD</curCd><unrealizedAppr>284938</unrealizedAppr></futrDeriv></derivativeInfo><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>N/A</name><lei>N/A</lei><title>US 10yr Ultra Fut Dec20</title><cusip>N/A</cusip><identifiers><ticker value="UXYZ0"/><other otherDesc="UXYZ0 COMDTY" value="Internal ID"/></identifiers><balance>-1050</balance><units>NC</units><curCd>USD</curCd><valUSD>-442347</valUSD><pctVal>-0.018</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DIR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>1</fairValLevel><derivativeInfo><futrDeriv derivCat="FUT"><counterparties><counterpartyName>Goldman Sachs &amp; Co. LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><payOffProf>Short</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><ticker value="UXYZ0"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2020-12-31</expDate><notionalAmt>-167475622</notionalAmt><curCd>USD</curCd><unrealizedAppr>-442347</unrealizedAppr></futrDeriv></derivativeInfo><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>N/A</name><lei>N/A</lei><title>IG CDSI S34 5Y</title><cusip>N/A</cusip><identifiers><other otherDesc="BPXXCC36P" value="Internal ID"/></identifiers><balance>-98000000</balance><units>OU</units><descOthUnits>Notional</descOthUnits><curCd>USD</curCd><valUSD>-669410</valUSD><pctVal>-0.027</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DCR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><swapDeriv derivCat="SWP"><counterparties><counterpartyName>Goldman Sachs &amp; Co. LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>IG CDSI</issuerName><issueTitle>IG CDSI S34 5Y</issueTitle><identifiers><other otherDesc="2I65BYDW2" value="RED Code"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><otherRecDesc fixedOrFloating="Other">IG CDSI S34 5Y</otherRecDesc><fixedPmntDesc amount="-24500" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/><terminationDt>2025-06-20</terminationDt><upfrontPmnt>0</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>1573486.39</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>-98000000</notionalAmt><curCd>USD</curCd><unrealizedAppr>904077</unrealizedAppr></swapDeriv></derivativeInfo><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>N/A</name><lei>N/A</lei><title>Pay Fixed 1.659% Receive ICE LIBOR USD 3 Month</title><cusip>N/A</cusip><identifiers><other otherDesc="USI082119P2" value="Internal ID"/></identifiers><balance>22000000</balance><units>OU</units><descOthUnits>Notional</descOthUnits><curCd>USD</curCd><valUSD>-3141263</valUSD><pctVal>-0.125</pctVal><payoffProfile>N/A</payoffProfile><assetCat>DIR</assetCat><issuerConditional desc="N/A" issuerCat="OTHER"/><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><derivativeInfo><swapDeriv derivCat="SWP"><counterparties><counterpartyName>Goldman Sachs &amp; Co. LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><cusip value="N/A"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 Month USD Libor" floatingRtSpread="0" pmntAmt="0"><rtResetTenors><rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/></rtResetTenors></floatingRecDesc><fixedPmntDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.659"/><terminationDt>2049-08-23</terminationDt><upfrontPmnt>750</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>0</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>22000000</notionalAmt><curCd>USD</curCd><unrealizedAppr>-3142013</unrealizedAppr></swapDeriv></derivativeInfo><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec></invstOrSecs><explntrNotes><explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/></explntrNotes><signature><ncom:dateSigned>2020-11-14</ncom:dateSigned><ncom:nameOfApplicant>JANUS INVESTMENT FUND</ncom:nameOfApplicant><ncom:signature>JESPER NERGAARD</ncom:signature><ncom:signerName>JESPER NERGAARD</ncom:signerName><ncom:title>VP, CFO, TREASURER, AND PRINCIPAL ACCOUNTING OFFICER</ncom:title></signature></nport:formData><nport:documents>XXXX</nport:documents></nport:edgarSubmission>
