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value="FR"/></identifiers><balance>166520</balance><units>PA</units><curCd>USD</curCd><valUSD>176671</valUSD><pctVal>0.005</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>4243</balance><units>PA</units><curCd>USD</curCd><valUSD>4599</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>3131XXYA3</cusip><identifiers><isin value="US3131XXYA32"/><ticker value="FR"/></identifiers><balance>5926</balance><units>PA</units><curCd>USD</curCd><valUSD>6306</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>3131Y06M9</cusip><identifiers><isin value="US3131Y06M97"/><ticker value="FR"/></identifiers><balance>1909</balance><units>PA</units><curCd>USD</curCd><valUSD>2087</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>3131Y0KU5</cusip><identifiers><isin value="US3131Y0KU56"/><ticker value="FR"/></identifiers><balance>3832</balance><units>PA</units><curCd>USD</curCd><valUSD>4126</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>188033</balance><units>PA</units><curCd>USD</curCd><valUSD>197397</valUSD><pctVal>0.006</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>5669</balance><units>PA</units><curCd>USD</curCd><valUSD>6147</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>6184</balance><units>PA</units><curCd>USD</curCd><valUSD>6599</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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3131Y6WK1</cusip><identifiers><isin value="US3131Y6WK17"/><ticker value="FR"/></identifiers><balance>2630</balance><units>PA</units><curCd>USD</curCd><valUSD>2807</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>B1V7KEBTPIMZEU4LTD58</lei><title>Fannie Mae Pool</title><cusip>3131YAV98</cusip><identifiers><isin value="US3131YAV985"/><ticker value="FR"/></identifiers><balance>875759</balance><units>PA</units><curCd>USD</curCd><valUSD>961870</valUSD><pctVal>0.028</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>1902405</balance><units>PA</units><curCd>USD</curCd><valUSD>2056279</valUSD><pctVal>0.06</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>373069</balance><units>PA</units><curCd>USD</curCd><valUSD>399451</valUSD><pctVal>0.012</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>5282341</balance><units>PA</units><curCd>USD</curCd><valUSD>5672878</valUSD><pctVal>0.165</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>21041</balance><units>PA</units><curCd>USD</curCd><valUSD>22374</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>19338</balance><units>PA</units><curCd>USD</curCd><valUSD>22721</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>112318</balance><units>PA</units><curCd>USD</curCd><valUSD>119831</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>2043-03-01</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>3314</balance><units>PA</units><curCd>USD</curCd><valUSD>3523</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>2011110</balance><units>PA</units><curCd>USD</curCd><valUSD>2129866</valUSD><pctVal>0.062</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>284339</balance><units>PA</units><curCd>USD</curCd><valUSD>308313</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>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>55849</balance><units>PA</units><curCd>USD</curCd><valUSD>60542</valUSD><pctVal>0.002</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>4010</balance><units>PA</units><curCd>USD</curCd><valUSD>4475</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>15663</balance><units>PA</units><curCd>USD</curCd><valUSD>16983</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>2044-02-01</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>9504</balance><units>PA</units><curCd>USD</curCd><valUSD>10391</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>2047-03-01</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>5432807</balance><units>PA</units><curCd>USD</curCd><valUSD>5795364</valUSD><pctVal>0.168</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>226557</balance><units>PA</units><curCd>USD</curCd><valUSD>245282</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>2047-01-01</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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31334XYL7</cusip><identifiers><isin value="US31334XYL71"/><ticker value="FR"/></identifiers><balance>3407410</balance><units>PA</units><curCd>USD</curCd><valUSD>3601889</valUSD><pctVal>0.105</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>505034</balance><units>PA</units><curCd>USD</curCd><valUSD>527979</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>2049-10-01</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>283209</balance><units>PA</units><curCd>USD</curCd><valUSD>296076</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>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>40961</balance><units>PA</units><curCd>USD</curCd><valUSD>42821</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>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>1045170</balance><units>PA</units><curCd>USD</curCd><valUSD>1092654</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>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133A0KK9</cusip><identifiers><isin value="US3133A0KK96"/><ticker value="FR"/></identifiers><balance>2064052</balance><units>PA</units><curCd>USD</curCd><valUSD>2157825</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>2049-12-01</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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133A1CP5</cusip><identifiers><isin value="US3133A1CP58"/><ticker value="FR"/></identifiers><balance>526168</balance><units>PA</units><curCd>USD</curCd><valUSD>544383</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>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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133A2HT0</cusip><identifiers><isin value="US3133A2HT09"/><ticker value="FR"/></identifiers><balance>1444843</balance><units>PA</units><curCd>USD</curCd><valUSD>1510625</valUSD><pctVal>0.044</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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133APYB9</cusip><identifiers><isin value="US3133APYB93"/><ticker value="FR"/></identifiers><balance>2503607</balance><units>PA</units><curCd>USD</curCd><valUSD>2582836</valUSD><pctVal>0.075</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2051-08-01</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>S6XOOCT0IEG5ABCC6L87</lei><title>FR QC7106</title><cusip>3133AR3P8</cusip><identifiers><isin value="US3133AR3P87"/><ticker value="FR"/></identifiers><balance>4676028</balance><units>PA</units><curCd>USD</curCd><valUSD>4690467</valUSD><pctVal>0.136</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGA</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2051-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>2</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133ARXP5</cusip><identifiers><isin value="US3133ARXP54"/><ticker value="FR"/></identifiers><balance>4672182</balance><units>PA</units><curCd>USD</curCd><valUSD>4687727</valUSD><pctVal>0.136</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2051-09-01</maturityDt><couponKind>Fixed</couponKind><annualizedRt>2</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>Freddie Mac</name><lei>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>3133G62Q7</cusip><identifiers><isin value="US3133G62Q78"/><ticker value="FR"/></identifiers><balance>196422</balance><units>PA</units><curCd>USD</curCd><valUSD>208582</valUSD><pctVal>0.006</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>3133G62T1</cusip><identifiers><isin value="US3133G62T18"/><ticker value="FR"/></identifiers><balance>470670</balance><units>PA</units><curCd>USD</curCd><valUSD>500702</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>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>3133KYVP1</cusip><identifiers><isin value="US3133KYVP14"/><ticker value="FR"/></identifiers><balance>8488933</balance><units>PA</units><curCd>USD</curCd><valUSD>8832493</valUSD><pctVal>0.256</pctVal><payoffProfile>Long</payoffProfile><assetCat>ABS-MBS</assetCat><issuerCat>USGSE</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2041-08-01</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>S6XOOCT0IEG5ABCC6L87</lei><title>Freddie Mac Pool</title><cusip>31346YLW1</cusip><identifiers><isin value="US31346YLW11"/><ticker value="FR"/></identifiers><balance>198228</balance><units>PA</units><curCd>USD</curCd><valUSD>207233</valUSD><pctVal>0.006</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>31346YMN0</cusip><identifiers><isin value="US31346YMN03"/><ticker value="FR"/></identifiers><balance>932064</balance><units>PA</units><curCd>USD</curCd><valUSD>974410</valUSD><pctVal>0.028</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>31346YPV9</cusip><identifiers><isin value="US31346YPV91"/><ticker value="FR"/></identifiers><balance>503691</balance><units>PA</units><curCd>USD</curCd><valUSD>526574</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>2049-12-01</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>21105</balance><units>PA</units><curCd>USD</curCd><valUSD>22306</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>10220032</balance><units>PA</units><curCd>USD</curCd><valUSD>1683695</valUSD><pctVal>0.049</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>5.964</annualizedRt><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>5116</balance><units>PA</units><curCd>USD</curCd><valUSD>5766</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>8371</balance><units>PA</units><curCd>USD</curCd><valUSD>9420</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>2044-07-01</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>7511</balance><units>PA</units><curCd>USD</curCd><valUSD>8465</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>3138ETLU8</cusip><identifiers><isin value="US3138ETLU84"/><ticker 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value="FN"/></identifiers><balance>2098798</balance><units>PA</units><curCd>USD</curCd><valUSD>2239313</valUSD><pctVal>0.065</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>16761</balance><units>PA</units><curCd>USD</curCd><valUSD>18244</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>324627</balance><units>PA</units><curCd>USD</curCd><valUSD>348342</valUSD><pctVal>0.01</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>3138WMG96</cusip><identifiers><isin value="US3138WMG964"/><ticker value="FN"/></identifiers><balance>5155725</balance><units>PA</units><curCd>USD</curCd><valUSD>5495476</valUSD><pctVal>0.159</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>3138WQJB9</cusip><identifiers><isin value="US3138WQJB90"/><ticker value="FN"/></identifiers><balance>2439</balance><units>PA</units><curCd>USD</curCd><valUSD>2602</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>1125990</balance><units>PA</units><curCd>USD</curCd><valUSD>1248934</valUSD><pctVal>0.036</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>29640</balance><units>PA</units><curCd>USD</curCd><valUSD>31719</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>6546342</balance><units>PA</units><curCd>USD</curCd><valUSD>7006436</valUSD><pctVal>0.203</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>3140GSKE1</cusip><identifiers><isin value="US3140GSKE15"/><ticker value="FN"/></identifiers><balance>3566</balance><units>PA</units><curCd>USD</curCd><valUSD>3794</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>3140H6B57</cusip><identifiers><isin value="US3140H6B572"/><ticker value="FN"/></identifiers><balance>4560</balance><units>PA</units><curCd>USD</curCd><valUSD>4930</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>16276</balance><units>PA</units><curCd>USD</curCd><valUSD>17893</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>3674011</balance><units>PA</units><curCd>USD</curCd><valUSD>3962251</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>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>3140HFFE4</cusip><identifiers><isin value="US3140HFFE40"/><ticker value="FN"/></identifiers><balance>5880</balance><units>PA</units><curCd>USD</curCd><valUSD>6447</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>3140J73V5</cusip><identifiers><isin value="US3140J73V50"/><ticker value="FN"/></identifiers><balance>11049</balance><units>PA</units><curCd>USD</curCd><valUSD>12325</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>2046-02-01</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>24102</balance><units>PA</units><curCd>USD</curCd><valUSD>25515</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>1303037</balance><units>PA</units><curCd>USD</curCd><valUSD>1389524</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>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>453564</balance><units>PA</units><curCd>USD</curCd><valUSD>480297</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>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>222853</balance><units>PA</units><curCd>USD</curCd><valUSD>236620</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>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>1221935</balance><units>PA</units><curCd>USD</curCd><valUSD>1264250</valUSD><pctVal>0.037</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>3140LRJE9</cusip><identifiers><isin value="US3140LRJE95"/><ticker value="FN"/></identifiers><balance>266961</balance><units>PA</units><curCd>USD</curCd><valUSD>275555</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>2051-08-01</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>3140LRJY5</cusip><identifiers><isin value="US3140LRJY59"/><ticker 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value="FN"/></identifiers><balance>284299</balance><units>PA</units><curCd>USD</curCd><valUSD>304972</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>2047-07-01</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>327012</balance><units>PA</units><curCd>USD</curCd><valUSD>350791</valUSD><pctVal>0.01</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>7738735</balance><units>PA</units><curCd>USD</curCd><valUSD>8244333</valUSD><pctVal>0.239</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" 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value="FN"/></identifiers><balance>1372765</balance><units>PA</units><curCd>USD</curCd><valUSD>1463880</valUSD><pctVal>0.042</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>53212</balance><units>PA</units><curCd>USD</curCd><valUSD>56774</valUSD><pctVal>0.002</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" value="Sedol"/></identifiers><balance>1807833</balance><units>PA</units><curCd>USD</curCd><valUSD>1927826</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>2043-01-01</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>31418AQR2</cusip><identifiers><isin value="US31418AQR22"/><ticker value="FN"/></identifiers><balance>737222</balance><units>PA</units><curCd>USD</curCd><valUSD>786154</valUSD><pctVal>0.023</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>31418ARE0</cusip><identifiers><isin value="US31418ARE00"/><ticker value="FN"/></identifiers><balance>639233</balance><units>PA</units><curCd>USD</curCd><valUSD>682030</valUSD><pctVal>0.02</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>31418ATD0</cusip><identifiers><isin value="US31418ATD09"/><ticker value="FN"/></identifiers><balance>525013</balance><units>PA</units><curCd>USD</curCd><valUSD>560162</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>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>381222</balance><units>PA</units><curCd>USD</curCd><valUSD>408943</valUSD><pctVal>0.012</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>110267</balance><units>PA</units><curCd>USD</curCd><valUSD>118322</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>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>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>188705</balance><units>PA</units><curCd>USD</curCd><valUSD>204218</valUSD><pctVal>0.006</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>5213</balance><units>PA</units><curCd>USD</curCd><valUSD>5653</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>803</balance><units>PA</units><curCd>USD</curCd><valUSD>871</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>2039</balance><units>PA</units><curCd>USD</curCd><valUSD>2212</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>2710</balance><units>PA</units><curCd>USD</curCd><valUSD>2938</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 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value="JOUPER"/></identifiers><balance>4689728</balance><units>PA</units><curCd>USD</curCd><valUSD>4697560</valUSD><pctVal>0.136</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-03-01</maturityDt><couponKind>Floating</couponKind><annualizedRt>5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>KODIAK BP LLC</name><lei>549300Y1Q6ZUH0EXO182</lei><title>Kodiak BP LLC</title><cusip>50011JAB6</cusip><identifiers><isin value="US50011JAB61"/><ticker value="KODBP"/></identifiers><balance>1853685</balance><units>PA</units><curCd>USD</curCd><valUSD>1852146</valUSD><pctVal>0.054</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-03-12</maturityDt><couponKind>Floating</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>LABL INC</name><lei>5493004FUZN8R6Y3VB98</lei><title>LABL Inc</title><cusip>50168EAE2</cusip><identifiers><isin value="US50168EAE23"/><ticker 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value="RSAS"/></identifiers><balance>5608778</balance><units>PA</units><curCd>USD</curCd><valUSD>5454536</valUSD><pctVal>0.158</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2029-04-27</maturityDt><couponKind>Floating</couponKind><annualizedRt>8.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>REDSTONE HOLDCO 2 LP</name><lei>N/A</lei><title>Redstone Holdco 2 LP</title><cusip>75774EAL9</cusip><identifiers><isin value="US75774EAL92"/><ticker value="RSAS"/></identifiers><balance>3216222</balance><units>PA</units><curCd>USD</curCd><valUSD>3127776</valUSD><pctVal>0.091</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2029-04-27</maturityDt><couponKind>Floating</couponKind><annualizedRt>8.5</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>RENT-A-CENTER INC</name><lei>529900QUHE15UQNCCJ63</lei><title>RENT-A-CENTER INC</title><cusip>76009WAW0</cusip><identifiers><isin value="US76009WAW01"/><ticker value="RCII"/></identifiers><balance>5000000</balance><units>PA</units><curCd>USD</curCd><valUSD>5012500</valUSD><pctVal>0.145</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-02-17</maturityDt><couponKind>Floating</couponKind><annualizedRt>3.75</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>SOVOS BRANDS INTERMEDIATE</name><lei>549300LNTCFBIDJ7R637</lei><title>Sovos Brands Intermediate Inc</title><cusip>84611UAH1</cusip><identifiers><isin value="US84611UAH14"/><ticker value="SOVOBR"/></identifiers><balance>3782957</balance><units>PA</units><curCd>USD</curCd><valUSD>3782957</valUSD><pctVal>0.11</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-06-08</maturityDt><couponKind>Floating</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>SPECTACLE GARY HOLDING</name><lei>549300V1ELIRK8JURN28</lei><title>Spectacle Gary Holdings LLC</title><cusip>84752PAC2</cusip><identifiers><isin value="US84752PAC23"/><ticker value="SPEGAR"/></identifiers><balance>3195527</balance><units>PA</units><curCd>USD</curCd><valUSD>3469160</valUSD><pctVal>0.101</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>SPECTACLE GARY HOLDING</name><lei>549300V1ELIRK8JURN28</lei><title>Spectacle Gary Holdings LLC</title><cusip>84752PAD0</cusip><identifiers><isin value="US84752PAD06"/><ticker value="SPEGAR"/></identifiers><balance>231560</balance><units>PA</units><curCd>USD</curCd><valUSD>251388</valUSD><pctVal>0.007</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>86880NAX1</cusip><identifiers><isin value="US86880NAX12"/><ticker value="SURCEN"/></identifiers><balance>2667862</balance><units>PA</units><curCd>USD</curCd><valUSD>2670450</valUSD><pctVal>0.077</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2026-08-31</maturityDt><couponKind>Floating</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>ULTRA CLEAN HOLDINGS INC</name><lei>5493007L6LS7QX18PE75</lei><title>Ultra Clean Holdings Inc</title><cusip>90385YAD3</cusip><identifiers><isin value="US90385YAD31"/><ticker value="UCTT"/></identifiers><balance>1758456</balance><units>PA</units><curCd>USD</curCd><valUSD>1759916</valUSD><pctVal>0.051</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2025-08-27</maturityDt><couponKind>Floating</couponKind><annualizedRt>3.83413</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>WATLOW ELECTRIC MANUFACT</name><lei>54930089QP6NQUHLU558</lei><title>Watlow Electric Manufacturing Co</title><cusip>94254PAC4</cusip><identifiers><isin value="US94254PAC41"/><ticker value="WATELE"/></identifiers><balance>2852665</balance><units>PA</units><curCd>USD</curCd><valUSD>2858599</valUSD><pctVal>0.083</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-03-02</maturityDt><couponKind>Floating</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>WHITE CAP BUYER LLC</name><lei>N/A</lei><title>White Cap Buyer LLC</title><cusip>96350TAC4</cusip><identifiers><isin value="US96350TAC45"/><ticker value="WHTCAP"/></identifiers><balance>5183639</balance><units>PA</units><curCd>USD</curCd><valUSD>5195406</valUSD><pctVal>0.151</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2027-10-19</maturityDt><couponKind>Floating</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>WOOF HOLDINGS INC</name><lei>N/A</lei><title>Woof Holdings Inc</title><cusip>98082EAD6</cusip><identifiers><isin value="US98082EAD67"/><ticker value="WOOHOL"/></identifiers><balance>1707290</balance><units>PA</units><curCd>USD</curCd><valUSD>1721170</valUSD><pctVal>0.05</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-12-21</maturityDt><couponKind>Floating</couponKind><annualizedRt>8</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>LOIRE FINCO LUXEMBOURG</name><lei>N/A</lei><title>Loire Finco Luxembourg</title><cusip>BL3231547</cusip><identifiers><isin value="N/A"/><ticker value="LGCLTD"/></identifiers><balance>2660000</balance><units>PA</units><currencyConditional curCd="EUR" exchangeRt="0.86341"/><valUSD>3029450</valUSD><pctVal>0.088</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>GB</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2027-04-21</maturityDt><couponKind>Floating</couponKind><annualizedRt>3</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>LOIRE FINCO LUXEMBOURG</name><lei>N/A</lei><title>Loire Finco Luxembourg</title><cusip>BL3282243</cusip><identifiers><isin value="N/A"/><ticker value="LGCLTD"/></identifiers><balance>11445848</balance><units>PA</units><curCd>USD</curCd><valUSD>11202623</valUSD><pctVal>0.325</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>GB</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2027-04-21</maturityDt><couponKind>Floating</couponKind><annualizedRt>3.33413</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>TACALA INVESTMENT CORP</name><lei>549300XTM341KBSTDI88</lei><title>Tacala Investment Corp</title><cusip>873412AA8</cusip><identifiers><isin value="N/A"/><ticker value="TACALA"/></identifiers><balance>7007299</balance><units>PA</units><curCd>USD</curCd><valUSD>6981022</valUSD><pctVal>0.203</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2027-02-05</maturityDt><couponKind>Floating</couponKind><annualizedRt>4.25</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>TACALA INVESTMENT CORP</name><lei>549300XTM341KBSTDI88</lei><title>Tacala Investment Corp</title><cusip>873412AC4</cusip><identifiers><isin value="N/A"/><ticker value="TACALA"/></identifiers><balance>5683991</balance><units>PA</units><curCd>USD</curCd><valUSD>5644203</valUSD><pctVal>0.164</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-02-04</maturityDt><couponKind>Floating</couponKind><annualizedRt>8.25</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>INEOS US PETROCHEM LLC</name><lei>N/A</lei><title>INEOS US Petrochem LLC</title><cusip>BL3541341</cusip><identifiers><isin value="N/A"/><ticker value="STYRO"/></identifiers><balance>3612945</balance><units>PA</units><curCd>USD</curCd><valUSD>3612945</valUSD><pctVal>0.105</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2026-01-29</maturityDt><couponKind>Floating</couponKind><annualizedRt>3.25</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>ENDURE DIGITAL INC</name><lei>549300UTQC2651SB0W88</lei><title>Endure Digital Inc</title><cusip>BL3545300</cusip><identifiers><isin value="N/A"/><ticker value="EIGI"/></identifiers><balance>10000000</balance><units>PA</units><curCd>USD</curCd><valUSD>9937500</valUSD><pctVal>0.288</pctVal><payoffProfile>Long</payoffProfile><assetCat>LON</assetCat><issuerCat>CORP</issuerCat><invCountry>US</invCountry><isRestrictedSec>N</isRestrictedSec><fairValLevel>2</fairValLevel><debtSec><maturityDt>2028-02-10</maturityDt><couponKind>Floating</couponKind><annualizedRt>4.25</annualizedRt><isDefault>N</isDefault><areIntrstPmntsInArrs>N</areIntrstPmntsInArrs><isPaidKind>N</isPaidKind></debtSec><securityLending><isCashCollateral>N</isCashCollateral><isNonCashCollateral>N</isNonCashCollateral><isLoanByFund>N</isLoanByFund></securityLending></invstOrSec><invstOrSec><name>ENTERPRISE DEVELOP AUTH</name><lei>N/A</lei><title>Enterprise Development Authority/The</title><cusip>BL3556604</cusip><identifiers><isin value="N/A"/><ticker 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LLC</counterpartyName><counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei></counterparties><payOffProf>Short</payOffProf><descRefInstrmnt><otherRefInst><issuerName>N/A</issuerName><issueTitle>N/A</issueTitle><identifiers><ticker value="UXYZ1"/></identifiers></otherRefInst></descRefInstrmnt><expDate>2021-12-31</expDate><notionalAmt>-187497492</notionalAmt><curCd>USD</curCd><unrealizedAppr>3610992</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>HY CDSI S36</title><cusip>N/A</cusip><identifiers><other otherDesc="BPXXCFSBP" value="Internal ID"/></identifiers><balance>-43650000</balance><units>OU</units><descOthUnits>Notional</descOthUnits><curCd>USD</curCd><valUSD>-4023510</valUSD><pctVal>-0.117</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>Citigroup Global Markets Inc</counterpartyName><counterpartyLei>G7D5LKZKIBRMES6BO437</counterpartyLei></counterparties><descRefInstrmnt><otherRefInst><issuerName>HY CDSI HEN 5Y</issuerName><issueTitle>HY CDSI HEN 5Y</issueTitle><identifiers><cusip value="N/A"/><other otherDesc="2I65BRYP9" value="RED Code"/></identifiers></otherRefInst></descRefInstrmnt><swapFlag>Y</swapFlag><otherRecDesc fixedOrFloating="Other">CDX HY CDSI GEN 5Y</otherRecDesc><fixedPmntDesc amount="-60625" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/><terminationDt>2026-06-20</terminationDt><upfrontPmnt>0</upfrontPmnt><pmntCurCd>USD</pmntCurCd><upfrontRcpt>4186589.75</upfrontRcpt><rcptCurCd>USD</rcptCurCd><notionalAmt>-43650000</notionalAmt><curCd>USD</curCd><unrealizedAppr>163079</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>910093</valUSD><pctVal>0.026</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>Citigroup Global Markets Inc</counterpartyName><counterpartyLei>G7D5LKZKIBRMES6BO437</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>909343</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>2021-11-14</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></formData><documents>XXXX</documents></edgarSubmission>
