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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>PALMER SQUARE CLO 2022-1 LTD</name>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MELLON RESIDENTIAL FUNDING CO 2001-TBC1</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>HOME EQUITY PASS-THRU CERTS 2002-1</name>
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        <name>N/A</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS1338 FN 04/52 FIXED VAR</title>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4020</name>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
        <valUSD>469.960000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <curCd>USD</curCd>
        <valUSD>110892.850000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>533.340000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT8451 FN 06/28 FIXED 2.5</title>
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        <debtSec>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE</title>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 MONTH SOFR FUT  JUN24 XCME 20240917</title>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-77</name>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
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          <isin value="US912828H458"/>
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        <name>GOVERNMENT NATL MTGE ASSOC 2011-H08</name>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 3684</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <isLoanByFund>N</isLoanByFund>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB9962 FN 07/43 FIXED 4</title>
        <cusip>31417HB86</cusip>
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          <isin value="US31417HB861"/>
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        <curCd>USD</curCd>
        <valUSD>587235.200000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C01622 FG 09/33 FIXED 5</title>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>638.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735896 FN 09/35 FIXED VAR</title>
        <cusip>31402RRR2</cusip>
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          <isin value="US31402RRR20"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 01/25 2.375</title>
        <cusip>912810FR4</cusip>
        <identifiers>
          <isin value="US912810FR42"/>
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        <balance>489669.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>485872.880000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.375</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4744 FN 01/48 FIXED 4</title>
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          <isin value="US3140H6HW26"/>
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        <balance>6446.930000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BF2211 G2 02/48 FIXED 3.5</title>
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          <isin value="US3617G8N412"/>
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        <curCd>USD</curCd>
        <valUSD>21137.870000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FANNIE MAE 2001-81</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH2718 FN 05/47 FIXED 4</title>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD7543 FR 08/51 FIXED 2.5</title>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809925 FN 03/35 FLOATING VAR</title>
        <cusip>31406GYW3</cusip>
        <identifiers>
          <isin value="US31406GYW31"/>
        </identifiers>
        <balance>3020.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2990.530000</valUSD>
        <pctVal>0.0020879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.805</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 521288 GN 04/35 FIXED 5</title>
        <cusip>36211SCZ8</cusip>
        <identifiers>
          <isin value="US36211SCZ83"/>
        </identifiers>
        <balance>79279.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79724.850000</valUSD>
        <pctVal>0.0556605</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G04170 FG 04/38 FIXED 6</title>
        <cusip>3128M56F2</cusip>
        <identifiers>
          <isin value="US3128M56F29"/>
        </identifiers>
        <balance>2348.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2447.970000</valUSD>
        <pctVal>0.0017091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783532 GN 02/42 FIXED 3.5</title>
        <cusip>36241L4R4</cusip>
        <identifiers>
          <isin value="US36241L4R43"/>
        </identifiers>
        <balance>3024.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2858.990000</valUSD>
        <pctVal>0.001996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-15</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>N/A</name>
        <lei>N/A</lei>
        <title>317U043O9 PIMCO SWAPTION 3.5 PUT USD 20240304</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP001JNC6"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>25838.400000</valUSD>
        <pctVal>0.0180393</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.50000 03/06/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01GUE8"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/3.50000 03/06/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01GUE8"/>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.500000"/>
                  <terminationDt>2034-03-06</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-04</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11238.400000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U3VRA0 PIMCO SWAPTION 5.25 PUT USD 20250303</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002R3Z8"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2470.500000</valUSD>
        <pctVal>0.0017248</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/5.25000 03/05/25-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01XDD2"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/5.25000 03/05/25-1Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01XDD2"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.250000"/>
                  <terminationDt>2026-03-05</terminationDt>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>5.250000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2025-03-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5529.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 457100 GN 11/28 FIXED 6.5</title>
        <cusip>36208PX52</cusip>
        <identifiers>
          <isin value="US36208PX528"/>
        </identifiers>
        <balance>1832.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1872.940000</valUSD>
        <pctVal>0.0013076</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080054 G2 03/27 FLOATING VAR</title>
        <cusip>36225CBY1</cusip>
        <identifiers>
          <isin value="US36225CBY12"/>
        </identifiers>
        <balance>27.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27.270000</valUSD>
        <pctVal>0.000019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1</name>
        <lei>N/A</lei>
        <title>PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A</title>
        <cusip>69363JAA2</cusip>
        <identifiers>
          <isin value="US69363JAA25"/>
        </identifiers>
        <balance>874097.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>847281.340000</valUSD>
        <pctVal>0.591536</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.721</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 691304 FN 11/37 FIXED 6.5</title>
        <cusip>31400MAD4</cusip>
        <identifiers>
          <isin value="US31400MAD48"/>
        </identifiers>
        <balance>20120.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20865.590000</valUSD>
        <pctVal>0.0145675</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL CM2620 G2 06/47 FIXED 3</title>
        <cusip>3617YM4D1</cusip>
        <identifiers>
          <isin value="US3617YM4D18"/>
        </identifiers>
        <balance>157546.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143802.300000</valUSD>
        <pctVal>0.100397</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BC4840 G2 09/47 FIXED 3.5</title>
        <cusip>3617B8LV8</cusip>
        <identifiers>
          <isin value="US3617B8LV86"/>
        </identifiers>
        <balance>12646.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11931.360000</valUSD>
        <pctVal>0.00833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 412301 GN 08/27 FIXED 7.5</title>
        <cusip>36206JAA2</cusip>
        <identifiers>
          <isin value="US36206JAA25"/>
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        <balance>195.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196.220000</valUSD>
        <pctVal>0.000137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIGROUP REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLX004"/>
        </identifiers>
        <balance>-13702357.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-13744377.570000</valUSD>
        <pctVal>-9.59575</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>-28304.500000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
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            <writtenOrPur>Written</writtenOrPur>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1</title>
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          <isin value="US12669GTV31"/>
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        <balance>48311.120000</balance>
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        <curCd>USD</curCd>
        <valUSD>42952.330000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BD3902 G2 01/48 FIXED 3.5</title>
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          <isin value="US3617BKKP50"/>
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        <balance>15227.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14382.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A85470 FG 04/39 FIXED 4.5</title>
        <cusip>312932CF1</cusip>
        <identifiers>
          <isin value="US312932CF11"/>
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        <balance>102925.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102979.390000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT</name>
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        <title>BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A</title>
        <cusip>05525DAA4</cusip>
        <identifiers>
          <isin value="US05525DAA46"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>992410.400000</valUSD>
        <pctVal>0.692859</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.60901</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4324</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4324 IO</title>
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          <isin value="US3137BAGM86"/>
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        <balance>21151.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>870.950000</valUSD>
        <pctVal>0.0006081</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2004-11</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 11 A</title>
        <cusip>31393T7H3</cusip>
        <identifiers>
          <isin value="US31393T7H31"/>
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        <balance>28920.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28855.890000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.56257</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-3</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 3 PE</title>
        <cusip>3136A3S69</cusip>
        <identifiers>
          <isin value="US3136A3S691"/>
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        <balance>103683.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99368.610000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5265 G2 06/48 FIXED 4.5</title>
        <cusip>36179TZ65</cusip>
        <identifiers>
          <isin value="US36179TZ650"/>
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        <balance>26720.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26419.620000</valUSD>
        <pctVal>0.0184451</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A63533 FG 07/37 FIXED 5.5</title>
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          <isin value="US3128KT4S62"/>
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        <balance>6793.560000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL RB5243 FR 06/43 FIXED 4.5</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14</name>
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          <isin value="US38380QFT40"/>
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      <invstOrSec>
        <name>FREDDIE MAC 4839</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4839 WO</title>
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          <isin value="US3137FJK811"/>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>LA HIPOTECARIA SA 2019-1A</name>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA2647 FN 10/24 FIXED 5.5</title>
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          <isin value="US31416K5H72"/>
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        <balance>775.560000</balance>
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        <curCd>USD</curCd>
        <valUSD>786.720000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2002-9</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 9 FH</title>
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          <isin value="US31392BD527"/>
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        <balance>42609.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42658.810000</valUSD>
        <pctVal>0.0297826</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.95191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5138 G2 04/48 FIXED 4.5</title>
        <cusip>36179TV77</cusip>
        <identifiers>
          <isin value="US36179TV774"/>
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        <balance>20095.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19880.880000</valUSD>
        <pctVal>0.01388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-20</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B2721 FH 01/35 FLOATING VAR</title>
        <cusip>3128JM4F1</cusip>
        <identifiers>
          <isin value="US3128JM4F15"/>
        </identifiers>
        <balance>4477.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4483.290000</valUSD>
        <pctVal>0.00313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.998</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB4130 FN 07/52 FIXED 4.5</title>
        <cusip>3140QPSU2</cusip>
        <identifiers>
          <isin value="US3140QPSU26"/>
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        <balance>1984692.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1925246.780000</valUSD>
        <pctVal>1.34413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NBC9 OTC EPUT FN 4.5 FEB24 95.8125 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50974"/>
        </identifiers>
        <balance>-4500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-20047.950000</valUSD>
        <pctVal>-0.0139966</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 4.5% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0426241"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>95.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4737.210000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 11 3A1</title>
        <cusip>12669GUM1</cusip>
        <identifiers>
          <isin value="US12669GUM13"/>
        </identifiers>
        <balance>226684.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161243.600000</valUSD>
        <pctVal>0.112574</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.69504</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1L0097 FH 06/35 FLOATING VAR</title>
        <cusip>3128Q2DA8</cusip>
        <identifiers>
          <isin value="US3128Q2DA83"/>
        </identifiers>
        <balance>9249.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9519.820000</valUSD>
        <pctVal>0.0066463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.459</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AY8218 GN 01/47 FIXED 4</title>
        <cusip>36196YDX8</cusip>
        <identifiers>
          <isin value="US36196YDX85"/>
        </identifiers>
        <balance>21967.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21166.570000</valUSD>
        <pctVal>0.0147776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8097 FN 04/33 FIXED 4.7</title>
        <cusip>3140LJ7K6</cusip>
        <identifiers>
          <isin value="US3140LJ7K61"/>
        </identifiers>
        <balance>125000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>126117.330000</valUSD>
        <pctVal>0.0880498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C</title>
        <cusip>02147DAC5</cusip>
        <identifiers>
          <isin value="US02147DAC56"/>
        </identifiers>
        <balance>409574.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>308555.660000</valUSD>
        <pctVal>0.215421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.97043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL WN2175 FR 03/32 FIXED 3.05</title>
        <cusip>3132XGMZ6</cusip>
        <identifiers>
          <isin value="US3132XGMZ60"/>
        </identifiers>
        <balance>221351.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197216.210000</valUSD>
        <pctVal>0.137688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 442324 FN 10/28 FLOATING VAR</title>
        <cusip>31380KLD0</cusip>
        <identifiers>
          <isin value="US31380KLD09"/>
        </identifiers>
        <balance>1331.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1326.940000</valUSD>
        <pctVal>0.0009264</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.26</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08525 FG 05/43 FIXED 3</title>
        <cusip>3128MJSP6</cusip>
        <identifiers>
          <isin value="US3128MJSP62"/>
        </identifiers>
        <balance>94655.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87161.230000</valUSD>
        <pctVal>0.0608523</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH5368 FN 08/47 FIXED 3.5</title>
        <cusip>3140GT6E5</cusip>
        <identifiers>
          <isin value="US3140GT6E51"/>
        </identifiers>
        <balance>48850.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45863.180000</valUSD>
        <pctVal>0.0320197</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AZ7147 G2 07/47 FIXED 3.5</title>
        <cusip>36197K5G3</cusip>
        <identifiers>
          <isin value="US36197K5G33"/>
        </identifiers>
        <balance>8907.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8403.920000</valUSD>
        <pctVal>0.0058673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-20</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 3.5 JUMBOS</title>
        <cusip>21H032613</cusip>
        <identifiers>
          <isin value="US21H0326130"/>
        </identifiers>
        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2607937.500000</valUSD>
        <pctVal>1.82075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-22</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB3407 G2 07/47 FIXED 3.5</title>
        <cusip>3617ATYC1</cusip>
        <identifiers>
          <isin value="US3617ATYC10"/>
        </identifiers>
        <balance>11414.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10789.650000</valUSD>
        <pctVal>0.0075329</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-20</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>N/A</name>
        <lei>N/A</lei>
        <title>31750NAA4 OTC ECAL FN 5.5 MAR24 102.234375 CALL</title>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2001-HYB1</name>
        <lei>N/A</lei>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <name>FHLMC PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>15136.740000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR ULTRA FUT MAR24 XCBT 20240319</title>
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          <ticker value="UXYH4"/>
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        <fairValLevel>2</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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        <name>GNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5</title>
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          <isin value="US3128M5DD94"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US3140QSUR08"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H07</name>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.78719</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA7479 FR 03/50 FIXED 3</title>
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          <isin value="US3133A2JY75"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <title>FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
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        <identifiers>
          <isin value="US761118FJ26"/>
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        <curCd>USD</curCd>
        <valUSD>57672.770000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809429 FN 02/35 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31406GHE26"/>
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        <curCd>USD</curCd>
        <valUSD>5631.160000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-20</name>
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        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A</title>
        <cusip>12667HAA9</cusip>
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        <curCd>USD</curCd>
        <valUSD>81290.770000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02939 FG 05/37 FIXED 5.5</title>
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        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <title>FNMA POOL FM1631 FN 09/49 FIXED VAR</title>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL8092 FN 07/42 FIXED VAR</title>
        <cusip>3138EQ7E6</cusip>
        <identifiers>
          <isin value="US3138EQ7E63"/>
        </identifiers>
        <balance>371530.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>362388.580000</valUSD>
        <pctVal>0.253005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4462</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4462 KG</title>
        <cusip>3137BHJA6</cusip>
        <identifiers>
          <isin value="US3137BHJA64"/>
        </identifiers>
        <balance>145632.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132060.310000</valUSD>
        <pctVal>0.092199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-15</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 REMICS 3514</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3514 ZQ</title>
        <cusip>31398C7C6</cusip>
        <identifiers>
          <isin value="US31398C7C64"/>
        </identifiers>
        <balance>130084.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133583.060000</valUSD>
        <pctVal>0.0932621</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BQ7186 GN 10/49 FIXED 3.5</title>
        <cusip>3617LR6X8</cusip>
        <identifiers>
          <isin value="US3617LR6X83"/>
        </identifiers>
        <balance>762019.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702799.280000</valUSD>
        <pctVal>0.490665</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-10-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZT1858 FR 04/49 FIXED 4.5</title>
        <cusip>3132AEB39</cusip>
        <identifiers>
          <isin value="US3132AEB391"/>
        </identifiers>
        <balance>457422.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>450039.950000</valUSD>
        <pctVal>0.314199</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>FANNIE MAE REMICS 2009-88</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2009 88 WZ</title>
        <cusip>31398F3H2</cusip>
        <identifiers>
          <isin value="US31398F3H25"/>
        </identifiers>
        <balance>47237.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41866.010000</valUSD>
        <pctVal>0.0292291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA I TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01N040611</cusip>
        <identifiers>
          <isin value="US01N0406114"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1912817.500000</valUSD>
        <pctVal>1.33545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-22</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4843 FN 02/48 FIXED 4</title>
        <cusip>3140H6LZ0</cusip>
        <identifiers>
          <isin value="US3140H6LZ01"/>
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        <balance>12089.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11635.000000</valUSD>
        <pctVal>0.0081231</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>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 2395</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2395 FT</title>
        <cusip>31339LMA5</cusip>
        <identifiers>
          <isin value="US31339LMA51"/>
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        <balance>22113.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22109.340000</valUSD>
        <pctVal>0.0154358</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.90292</annualizedRt>
          <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 REMICS 4572</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4572 NI</title>
        <cusip>3137BNY73</cusip>
        <identifiers>
          <isin value="US3137BNY730"/>
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        <balance>154013.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30530.590000</valUSD>
        <pctVal>0.0213152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032625</cusip>
        <identifiers>
          <isin value="US01F0326250"/>
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        <balance>-14300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-13133656.250000</valUSD>
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        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-02-13</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4256 FN 02/51 FIXED 2.5</title>
        <cusip>31418DWS7</cusip>
        <identifiers>
          <isin value="US31418DWS79"/>
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        <balance>397509.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340035.680000</valUSD>
        <pctVal>0.237399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA</title>
        <cusip>38375US27</cusip>
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          <isin value="US38375US275"/>
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        <curCd>USD</curCd>
        <valUSD>189568.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2067-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.18000 11/08/23-7Y LCH</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0169 FN 01/57 FIXED 3.5</title>
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          <isin value="US3140FXFK34"/>
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        <curCd>USD</curCd>
        <valUSD>22355.670000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U816I7 PIMCO SWAPTION 3.5 PUT USD 20240209</title>
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          <other otherDesc="Internal ID" value="OP001H597"/>
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        <balance>4100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>42959.800000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Citibank, National Association</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.50000 02/13/24-10Y LCH</title>
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                      <other otherDesc="Internal_ID" value="SWU01G7O2"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal_ID" value="SWU01G7O2"/>
                      </identifiers>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  </floatingRecDesc>
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                  <terminationDt>2034-02-13</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13234.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3340 FN 05/35 FIXED VAR</title>
        <cusip>3140X6WA5</cusip>
        <identifiers>
          <isin value="US3140X6WA53"/>
        </identifiers>
        <balance>366160.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>355148.270000</valUSD>
        <pctVal>0.24795</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</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 STRIPS 389</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 389 C40</title>
        <cusip>31325YRU4</cusip>
        <identifiers>
          <isin value="US31325YRU46"/>
        </identifiers>
        <balance>3529393.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>554304.030000</valUSD>
        <pctVal>0.386992</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8202 FN 04/28 FIXED 4.14</title>
        <cusip>3140LKDG5</cusip>
        <identifiers>
          <isin value="US3140LKDG54"/>
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        <balance>156000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154794.480000</valUSD>
        <pctVal>0.108071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.14</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB3046 FN 03/52 FIXED 2.5</title>
        <cusip>3140QNL42</cusip>
        <identifiers>
          <isin value="US3140QNL424"/>
        </identifiers>
        <balance>184579.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>158041.270000</valUSD>
        <pctVal>0.110338</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS2262 FN 04/44 FIXED 4</title>
        <cusip>3138WBQQ1</cusip>
        <identifiers>
          <isin value="US3138WBQQ18"/>
        </identifiers>
        <balance>17422.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16828.930000</valUSD>
        <pctVal>0.0117493</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783007 GN 06/40 FIXED 4.5</title>
        <cusip>36241LKU9</cusip>
        <identifiers>
          <isin value="US36241LKU97"/>
        </identifiers>
        <balance>511822.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>503727.260000</valUSD>
        <pctVal>0.351681</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RC1860 FR 04/36 FIXED 2</title>
        <cusip>3133L8B53</cusip>
        <identifiers>
          <isin value="US3133L8B530"/>
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        <balance>700939.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>632713.000000</valUSD>
        <pctVal>0.441734</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-01</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 STRIPS 386</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 386 C3</title>
        <cusip>31325YCL0</cusip>
        <identifiers>
          <isin value="US31325YCL02"/>
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        <balance>360311.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55724.900000</valUSD>
        <pctVal>0.0389048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 801543 FN 09/34 FIXED 7.5</title>
        <cusip>31405WP41</cusip>
        <identifiers>
          <isin value="US31405WP410"/>
        </identifiers>
        <balance>19.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19.190000</valUSD>
        <pctVal>0.0000134</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QD8684 FR 03/52 FIXED 3</title>
        <cusip>3133B6UH1</cusip>
        <identifiers>
          <isin value="US3133B6UH18"/>
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        <balance>89583.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79452.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</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>N/A</name>
        <lei>N/A</lei>
        <title>317U3RMA4 PIMCO SWAPTION 3.365 CALL USD 202408</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP002Q4K2"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9809.360000</valUSD>
        <pctVal>0.0068485</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.36500 08/21/24-7Y LCH</title>
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                      <other otherDesc="Internal_ID" value="SWU01X1V5"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
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                    <invCountry>US</invCountry>
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                      <issuerName>N/A</issuerName>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>3.370000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>2410.360000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA1988 FN 07/48 FIXED 4.5</title>
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        <balance>156200.430000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-81</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 81 MZ</title>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFRF USD SF+26.161/1.40 7/05/23-2Y* CME</title>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>609564.520000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01PU65-USD-SOFR-COMPOUND"/>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2815 FN 05/35 FLOATING VAR</title>
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          <isin value="US3138EKDV41"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25844.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB6892 FN 08/53 FIXED 4.5</title>
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          <isin value="US3140QSUS80"/>
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        <balance>2335802.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2281621.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972136 FH 01/34 FLOATING VAR</title>
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          <isin value="US31336CLR24"/>
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        <balance>2448.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2481.580000</valUSD>
        <pctVal>0.0017325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.934</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2018-85</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2018 85 FE</title>
        <cusip>3136B3QC7</cusip>
        <identifiers>
          <isin value="US3136B3QC72"/>
        </identifiers>
        <balance>359286.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>350743.820000</valUSD>
        <pctVal>0.244875</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3703 FN 05/49 FIXED 3</title>
        <cusip>31418DDH2</cusip>
        <identifiers>
          <isin value="US31418DDH26"/>
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        <balance>353757.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>308065.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</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 REMICS 2013-86</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 86 CY</title>
        <cusip>3136AF2E3</cusip>
        <identifiers>
          <isin value="US3136AF2E30"/>
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        <balance>591200.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>567271.890000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4434</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4434 HZ</title>
        <cusip>3137BGEH8</cusip>
        <identifiers>
          <isin value="US3137BGEH89"/>
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        <balance>585047.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>455591.490000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 1.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F012411</cusip>
        <identifiers>
          <isin value="US01F0124119"/>
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        <balance>-5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4346093.750000</valUSD>
        <pctVal>-3.03426</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KJ45</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS KJ45 A2</title>
        <cusip>3137HA4L7</cusip>
        <identifiers>
          <isin value="US3137HA4L74"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>599291.520000</valUSD>
        <pctVal>0.4184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.66</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2006-AR6</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR6 2A1A</title>
        <cusip>456612AC4</cusip>
        <identifiers>
          <isin value="US456612AC42"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37219.070000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.87043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 820356 FN 02/35 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31406UMD71"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13632.860000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.972</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM3638 FN 08/44 FIXED VAR</title>
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          <isin value="US3140J8BG75"/>
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        <balance>98874.510000</balance>
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        <curCd>USD</curCd>
        <valUSD>96339.200000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784445 G2 02/48 FIXED 3.5</title>
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          <isin value="US3622A25E80"/>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.00000 12/20/23-3Y CME</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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            <curCd>USD</curCd>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS3324 FN 08/34 FIXED 4</title>
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          <isin value="US3138WCVS91"/>
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        <balance>107290.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102907.480000</valUSD>
        <pctVal>0.0718457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 748058 GN 04/41 FIXED 5</title>
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        <identifiers>
          <isin value="US3620C4B332"/>
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        <balance>5673.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5614.890000</valUSD>
        <pctVal>0.0039201</pctVal>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FANNIE MAE 2004-53</name>
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        <name>FANNIE MAE REMICS 2014-84</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS 4989</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FREDDIE MAC REMICS 4361</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL T62068 FG 09/46 FIXED 2.5</title>
        <cusip>3128S3JM2</cusip>
        <identifiers>
          <isin value="US3128S3JM21"/>
        </identifiers>
        <balance>198004.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>170013.860000</valUSD>
        <pctVal>0.118697</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>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>THORNBURG MORTGAGE SECURITIES TR 2006-5</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2006 5 A1</title>
        <cusip>88522RAA2</cusip>
        <identifiers>
          <isin value="US88522RAA23"/>
        </identifiers>
        <balance>33684.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31410.990000</valUSD>
        <pctVal>0.0219298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.07981</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BA0244 GN 04/47 FIXED 4</title>
        <cusip>3617ACHV5</cusip>
        <identifiers>
          <isin value="US3617ACHV58"/>
        </identifiers>
        <balance>152031.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146487.490000</valUSD>
        <pctVal>0.102271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BA7886 GN 05/47 FIXED 4</title>
        <cusip>3617ALXP0</cusip>
        <identifiers>
          <isin value="US3617ALXP06"/>
        </identifiers>
        <balance>57521.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55566.430000</valUSD>
        <pctVal>0.0387941</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809271 FN 01/35 FLOATING VAR</title>
        <cusip>31406GCG2</cusip>
        <identifiers>
          <isin value="US31406GCG29"/>
        </identifiers>
        <balance>8295.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8304.700000</valUSD>
        <pctVal>0.005798</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.925</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A95501 FG 12/40 FIXED 5</title>
        <cusip>312944DE8</cusip>
        <identifiers>
          <isin value="US312944DE82"/>
        </identifiers>
        <balance>59519.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60211.840000</valUSD>
        <pctVal>0.0420374</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-01</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>FREDDIE MAC REMICS 3621</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3621 WI</title>
        <cusip>31398W2S2</cusip>
        <identifiers>
          <isin value="US31398W2S28"/>
        </identifiers>
        <balance>12265.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>677.910000</valUSD>
        <pctVal>0.0004733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F052615</cusip>
        <identifiers>
          <isin value="US01F0526156"/>
        </identifiers>
        <balance>-5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5021875.000000</valUSD>
        <pctVal>-3.50606</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SAXON ASSET SECURITIES TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A</title>
        <cusip>80557CAB8</cusip>
        <identifiers>
          <isin value="US80557CAB81"/>
        </identifiers>
        <balance>163728.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138828.300000</valUSD>
        <pctVal>0.0969241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.22043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMCM MORTGAGE LOAN TRUST 2003-A</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A</title>
        <cusip>268668BU3</cusip>
        <identifiers>
          <isin value="US268668BU33"/>
        </identifiers>
        <balance>27114.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26057.950000</valUSD>
        <pctVal>0.0181926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.97043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 677202 GN 08/38 FIXED 6.5</title>
        <cusip>36295QKP4</cusip>
        <identifiers>
          <isin value="US36295QKP45"/>
        </identifiers>
        <balance>2916.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2987.850000</valUSD>
        <pctVal>0.002086</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4277 FN 01/27 FIXED 3</title>
        <cusip>31417AXF1</cusip>
        <identifiers>
          <isin value="US31417AXF10"/>
        </identifiers>
        <balance>41748.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40624.120000</valUSD>
        <pctVal>0.0283621</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03698 FG 12/37 FIXED 6</title>
        <cusip>3128M5NP1</cusip>
        <identifiers>
          <isin value="US3128M5NP15"/>
        </identifiers>
        <balance>3246.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3395.590000</valUSD>
        <pctVal>0.0023707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AK6957 FN 03/37 FIXED 4</title>
        <cusip>3138EBWT8</cusip>
        <identifiers>
          <isin value="US3138EBWT84"/>
        </identifiers>
        <balance>259484.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>253995.570000</valUSD>
        <pctVal>0.177329</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-01</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 REMICS 2015-10</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 10 SA</title>
        <cusip>3136AMZT9</cusip>
        <identifiers>
          <isin value="US3136AMZT92"/>
        </identifiers>
        <balance>110541.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6658.150000</valUSD>
        <pctVal>0.0046484</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <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 WHOLE LOAN SECURITIES TRUST 2015-SC02</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC WHOLE LOAN SECURIT FWLS 2015 SC02 1A</title>
        <cusip>3137G1AK3</cusip>
        <identifiers>
          <isin value="US3137G1AK38"/>
        </identifiers>
        <balance>123555.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108070.110000</valUSD>
        <pctVal>0.07545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB9931 FN 07/28 FIXED 2.5</title>
        <cusip>31417HA95</cusip>
        <identifiers>
          <isin value="US31417HA954"/>
        </identifiers>
        <balance>106114.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101831.870000</valUSD>
        <pctVal>0.0710947</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 827785 FN 05/35 FLOATING VAR</title>
        <cusip>31407DUJ2</cusip>
        <identifiers>
          <isin value="US31407DUJ26"/>
        </identifiers>
        <balance>2450.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2472.880000</valUSD>
        <pctVal>0.0017265</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.425</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CENTEX HOME EQUITY 2002-A</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2002 A AV</title>
        <cusip>152314EQ9</cusip>
        <identifiers>
          <isin value="US152314EQ97"/>
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        <balance>6236.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5942.970000</valUSD>
        <pctVal>0.0041491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.77043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03911 FG 02/38 FIXED 6</title>
        <cusip>3128M5VC1</cusip>
        <identifiers>
          <isin value="US3128M5VC10"/>
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        <balance>111279.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116402.030000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ALT LN TR 2006-2</name>
        <lei>N/A</lei>
        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1</title>
        <cusip>5764342H6</cusip>
        <identifiers>
          <isin value="US5764342H69"/>
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        <balance>959869.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104786.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL8166 FN 02/46 FIXED VAR</title>
        <cusip>3138ETCC8</cusip>
        <identifiers>
          <isin value="US3138ETCC87"/>
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        <balance>1092522.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1027889.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL5937 FN 10/29 FIXED VAR</title>
        <cusip>3138ENS34</cusip>
        <identifiers>
          <isin value="US3138ENS346"/>
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        <balance>51655.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49859.890000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED NATIONAL HM LN OWNER TR 1999-1</name>
        <lei>N/A</lei>
        <title>UNITED NATIONAL HOME LOAN OWNE UNHOT 1999 1 M2</title>
        <cusip>91103PAC3</cusip>
        <identifiers>
          <isin value="US91103PAC32"/>
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        <balance>3393.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3335.720000</valUSD>
        <pctVal>0.0023289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.91</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BY4014 FN 06/53 FIXED 5</title>
        <cusip>3140NLN88</cusip>
        <identifiers>
          <isin value="US3140NLN884"/>
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        <balance>550986.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>548916.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATL MTGE ASSOC 2015-159</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 159 TE</title>
        <cusip>38379FWQ8</cusip>
        <identifiers>
          <isin value="US38379FWQ89"/>
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        <balance>84877.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68068.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS0406 FN 02/47 FIXED VAR</title>
        <cusip>3140XFNY3</cusip>
        <identifiers>
          <isin value="US3140XFNY38"/>
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        <balance>144071.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132371.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC WHOLE LOAN SECURITIES TRUST 2017-SC01</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC WHOLE LOAN SECURIT FWLS 2017 SC01 2A</title>
        <cusip>3137G1BL0</cusip>
        <identifiers>
          <isin value="US3137G1BL02"/>
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        <balance>237935.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210883.050000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAIE WHOLE LOAN 2002-W2</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1</title>
        <cusip>31392CEQ3</cusip>
        <identifiers>
          <isin value="US31392CEQ33"/>
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        <balance>37629.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36826.840000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.58191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17</name>
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        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF</title>
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          <isin value="US38380QMV13"/>
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        <balance>701247.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>710913.440000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.68719</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>5.500000</exercisePrice>
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            <expDt>2024-12-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5364.000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-19</name>
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        <title>FANNIE MAE FNR 2015 19 AI</title>
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          <isin value="US3136ANJM07"/>
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        <balance>90650.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4693.370000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2055-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U2J0A7 PIMCO SWAPTION 3.21 CALL USD 2024030</title>
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        <balance>1500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>12238.650000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.59257</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040420</cusip>
        <identifiers>
          <isin value="US01F0404206"/>
        </identifiers>
        <balance>-1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1177875.000000</valUSD>
        <pctVal>-0.822343</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 791585 FN 09/34 FIXED 6</title>
        <cusip>31405KNA5</cusip>
        <identifiers>
          <isin value="US31405KNA50"/>
        </identifiers>
        <balance>19219.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19912.040000</valUSD>
        <pctVal>0.0139018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AA6149 G2 03/43 FIXED 3</title>
        <cusip>36178DZN4</cusip>
        <identifiers>
          <isin value="US36178DZN47"/>
        </identifiers>
        <balance>156048.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145996.080000</valUSD>
        <pctVal>0.101928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-20</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>GSR MORTGAGE LOAN TRUST 2006-OA1</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2</title>
        <cusip>362631AC7</cusip>
        <identifiers>
          <isin value="US362631AC72"/>
        </identifiers>
        <balance>172903.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44534.570000</valUSD>
        <pctVal>0.0310922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.99043</annualizedRt>
          <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 REMICS 4248</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4248 ES</title>
        <cusip>3137B4UN4</cusip>
        <identifiers>
          <isin value="US3137B4UN47"/>
        </identifiers>
        <balance>199056.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>184593.730000</valUSD>
        <pctVal>0.128876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <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 REMICS 4394</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4394 WI</title>
        <cusip>3137BEV43</cusip>
        <identifiers>
          <isin value="US3137BEV438"/>
        </identifiers>
        <balance>12447.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>722.820000</valUSD>
        <pctVal>0.0005046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890362 FN 08/41 FIXED VAR</title>
        <cusip>31410LFB3</cusip>
        <identifiers>
          <isin value="US31410LFB36"/>
        </identifiers>
        <balance>152944.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152807.600000</valUSD>
        <pctVal>0.106684</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>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB3889 G2 11/47 FIXED 3.5</title>
        <cusip>3617AUKA7</cusip>
        <identifiers>
          <isin value="US3617AUKA72"/>
        </identifiers>
        <balance>17445.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16463.330000</valUSD>
        <pctVal>0.011494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-20</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>N/A</name>
        <lei>N/A</lei>
        <title>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>1588000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1588000.000000</valUSD>
        <pctVal>1.10867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.600000</repurchaseRt>
          <maturityDt>2024-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1597900.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1619801.540000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 788845 FH 11/31 FLOATING VAR</title>
        <cusip>31295MZJ2</cusip>
        <identifiers>
          <isin value="US31295MZJ25"/>
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        <balance>4955.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4907.260000</valUSD>
        <pctVal>0.003426</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U2OHA8 PIMCO SWAPTION 2.5125 CALL USD 20240</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP002CV64"/>
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        <balance>1700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3771.280000</valUSD>
        <pctVal>0.0026329</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/2.51250 04/09/24-7Y LCH</title>
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                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01QYF9"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.512500"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-32778.720000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A79966 FG 08/38 FIXED 5.5</title>
        <cusip>3128LECB6</cusip>
        <identifiers>
          <isin value="US3128LECB62"/>
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        <balance>1009.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1036.230000</valUSD>
        <pctVal>0.0007235</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B2747 FH 02/35 FLOATING VAR</title>
        <cusip>3128JM5H6</cusip>
        <identifiers>
          <isin value="US3128JM5H61"/>
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        <balance>4101.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4105.870000</valUSD>
        <pctVal>0.0028665</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.591</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01818 FG 05/35 FIXED 5</title>
        <cusip>3128LXAT7</cusip>
        <identifiers>
          <isin value="US3128LXAT79"/>
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        <balance>64468.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65628.400000</valUSD>
        <pctVal>0.045819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AX7940 FN 01/45 FIXED 4</title>
        <cusip>3138Y9ZE1</cusip>
        <identifiers>
          <isin value="US3138Y9ZE14"/>
        </identifiers>
        <balance>60871.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58707.940000</valUSD>
        <pctVal>0.0409874</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7079 FN 07/35 FIXED VAR</title>
        <cusip>3138EP2M5</cusip>
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          <isin value="US3138EP2M52"/>
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        <balance>352085.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>344340.270000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL5548 FN 05/38 FLOATING VAR</title>
        <cusip>3138ENEW5</cusip>
        <identifiers>
          <isin value="US3138ENEW53"/>
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        <balance>191485.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196995.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.549</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM9966 FN 08/43 FIXED VAR</title>
        <cusip>3140XECC6</cusip>
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          <isin value="US3140XECC61"/>
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        <balance>3729532.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3518941.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NA71 OTC ECAL FN 6.0 MAR24 102.265625 CALL</title>
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          <other otherDesc="Internal ID" value="AEIH50024"/>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-4100.400000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317553PA7 OTC ECAL FN 5.0 JAN24 98.40625 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46881"/>
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        <balance>-2500000.000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-6446.870000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE WHOLE LOAN 2002 W11</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2002 W11 AV1</title>
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          <isin value="US31392EW638"/>
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        <balance>11777.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11598.420000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BC1138 GN 08/47 FIXED 4</title>
        <cusip>3617B4HP5</cusip>
        <identifiers>
          <isin value="US3617B4HP50"/>
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        <balance>76797.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74186.930000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>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>MASTR ASSET SECURIZATION TR 2007-3</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A4</title>
        <cusip>57645NAS9</cusip>
        <identifiers>
          <isin value="US57645NAS99"/>
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        <balance>1426.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1377.270000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.07043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM8689 FN 09/51 FIXED VAR</title>
        <cusip>3140XCUP1</cusip>
        <identifiers>
          <isin value="US3140XCUP17"/>
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        <balance>540711.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>465939.780000</valUSD>
        <pctVal>0.3253</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>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL AX6465 G2 04/47 FIXED 3.5</title>
        <cusip>36196JFE1</cusip>
        <identifiers>
          <isin value="US36196JFE10"/>
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        <balance>15231.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14382.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA6424 FN 07/50 FIXED 3</title>
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          <isin value="US3140QED669"/>
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        <balance>459393.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410537.280000</valUSD>
        <pctVal>0.28662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET SECURIZATION TR 2007-3</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5</title>
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          <isin value="US57645NAT72"/>
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        <curCd>USD</curCd>
        <valUSD>354976.340000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3241 FN 03/50 FIXED VAR</title>
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          <isin value="US3140X6S774"/>
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        <balance>1018428.370000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="AEIH46444"/>
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        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7063.200000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1672.570000</unrealizedAppr>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL4287 FN 11/40 FIXED VAR</title>
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          <isin value="US3138ELXR91"/>
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        <balance>95857.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99689.180000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 838769 FN 09/35 FLOATING VAR</title>
        <cusip>31407R2A1</cusip>
        <identifiers>
          <isin value="US31407R2A19"/>
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        <balance>10671.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10609.110000</valUSD>
        <pctVal>0.0074068</pctVal>
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        <name>FNMA PASS THRU POOLS</name>
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        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR5 A3A2</title>
        <cusip>39538AAJ5</cusip>
        <identifiers>
          <isin value="US39538AAJ51"/>
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        <balance>124519.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>112866.400000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ4522 FN 10/26 FIXED 3</title>
        <cusip>3138AWAY9</cusip>
        <identifiers>
          <isin value="US3138AWAY90"/>
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        <balance>13601.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13248.040000</valUSD>
        <pctVal>0.0092492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.14500 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1J0"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>36957.240000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal_ID" value="SWU01Y1J0-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
            <unrealizedAppr>40957.240000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 896032 FN 08/36 FIXED 6</title>
        <cusip>31410SPR2</cusip>
        <identifiers>
          <isin value="US31410SPR21"/>
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        <balance>111.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116.070000</valUSD>
        <pctVal>0.000081</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F042426</cusip>
        <identifiers>
          <isin value="US01F0424261"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2489453.130000</valUSD>
        <pctVal>1.73803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2006-5</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 5 3A2</title>
        <cusip>31394VL73</cusip>
        <identifiers>
          <isin value="US31394VL730"/>
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        <balance>29085.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29534.610000</valUSD>
        <pctVal>0.0206198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.26028</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG5039 FR 06/53 FIXED 5</title>
        <cusip>3133C5S44</cusip>
        <identifiers>
          <isin value="US3133C5S440"/>
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        <balance>438262.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>436616.940000</valUSD>
        <pctVal>0.304828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH2185 FN 06/47 FIXED 4</title>
        <cusip>3140GQNB8</cusip>
        <identifiers>
          <isin value="US3140GQNB82"/>
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        <balance>2317.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2226.600000</valUSD>
        <pctVal>0.0015545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-EC1</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 EC1 M2</title>
        <cusip>81375WDE3</cusip>
        <identifiers>
          <isin value="US81375WDE30"/>
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        <balance>45677.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44536.930000</valUSD>
        <pctVal>0.0310938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.11543</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 688960 FN 04/33 FLOATING VAR</title>
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        <identifiers>
          <isin value="US31400JMH94"/>
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        <balance>8491.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8663.390000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-01</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8743 FN 06/30 FIXED 4.68</title>
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          <isin value="US3140LKWD13"/>
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        <balance>1479733.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1490607.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS4750 FN 08/52 FIXED VAR</title>
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          <isin value="US3140XLH430"/>
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        <balance>1421020.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1304408.140000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735962 FN 10/35 FLOATING VAR</title>
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          <isin value="US31402RTT67"/>
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        <balance>12042.090000</balance>
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        <curCd>USD</curCd>
        <valUSD>11955.500000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 781923 FH 09/34 FLOATING VAR</title>
        <cusip>31349TD40</cusip>
        <identifiers>
          <isin value="US31349TD404"/>
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        <balance>90472.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92636.050000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A91699 FG 04/40 FIXED 5</title>
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          <isin value="US3129393G41"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6307.610000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831599 FN 07/36 FIXED 6</title>
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          <isin value="US31407H3G96"/>
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        <curCd>USD</curCd>
        <valUSD>266607.010000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4695 FN 07/42 FIXED 3</title>
        <cusip>31418EGD6</cusip>
        <identifiers>
          <isin value="US31418EGD67"/>
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        <balance>39501.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36045.970000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 783104 FH 04/35 FLOATING VAR</title>
        <cusip>31349UNV6</cusip>
        <identifiers>
          <isin value="US31349UNV60"/>
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        <balance>11902.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12168.350000</valUSD>
        <pctVal>0.0084954</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.089</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK0935 FN 07/33 FIXED 4</title>
        <cusip>3140HEBD3</cusip>
        <identifiers>
          <isin value="US3140HEBD38"/>
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        <balance>321935.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319741.100000</valUSD>
        <pctVal>0.22323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 809593 FN 02/35 FLOATING VAR</title>
        <cusip>31406GNJ4</cusip>
        <identifiers>
          <isin value="US31406GNJ49"/>
        </identifiers>
        <balance>4941.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4946.030000</valUSD>
        <pctVal>0.0034531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.29</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4616 FN 02/48 FIXED 4</title>
        <cusip>3140H6DW6</cusip>
        <identifiers>
          <isin value="US3140H6DW61"/>
        </identifiers>
        <balance>81981.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78973.430000</valUSD>
        <pctVal>0.0551359</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>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 ASSOCIATION 2015-180</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA</title>
        <cusip>38379TGM5</cusip>
        <identifiers>
          <isin value="US38379TGM53"/>
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        <balance>61969.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1975.480000</valUSD>
        <pctVal>0.0013792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB6244 FN 09/42 FIXED 4</title>
        <cusip>31417C5E1</cusip>
        <identifiers>
          <isin value="US31417C5E13"/>
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        <balance>196121.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190850.090000</valUSD>
        <pctVal>0.133243</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q25853 FG 04/44 FIXED 4.5</title>
        <cusip>3132M6E22</cusip>
        <identifiers>
          <isin value="US3132M6E223"/>
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        <balance>67998.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67698.540000</valUSD>
        <pctVal>0.0472643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 784010 GN 03/45 FIXED 4</title>
        <cusip>3622A2N32</cusip>
        <identifiers>
          <isin value="US3622A2N323"/>
        </identifiers>
        <balance>138035.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>136424.280000</valUSD>
        <pctVal>0.0952457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G07203 FG 06/41 FIXED 4.5</title>
        <cusip>3128M9KQ4</cusip>
        <identifiers>
          <isin value="US3128M9KQ47"/>
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        <balance>46215.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46239.520000</valUSD>
        <pctVal>0.0322825</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q25852 FG 04/44 FIXED 4.5</title>
        <cusip>3132M6EZ9</cusip>
        <identifiers>
          <isin value="US3132M6EZ98"/>
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        <balance>62018.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61667.640000</valUSD>
        <pctVal>0.0430538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB3898 FN 11/26 FIXED 3</title>
        <cusip>31417AKL2</cusip>
        <identifiers>
          <isin value="US31417AKL25"/>
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        <balance>66896.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65125.910000</valUSD>
        <pctVal>0.0454682</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 4 JUMBOS</title>
        <cusip>21H040624</cusip>
        <identifiers>
          <isin value="US21H0406247"/>
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        <balance>2350000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2246091.810000</valUSD>
        <pctVal>1.56813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-64</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 64 KS</title>
        <cusip>3136AP3C4</cusip>
        <identifiers>
          <isin value="US3136AP3C48"/>
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        <balance>43060.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2292.290000</valUSD>
        <pctVal>0.0016004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.000001</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC STRIPS 330</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 330 F4</title>
        <cusip>31351DDT5</cusip>
        <identifiers>
          <isin value="US31351DDT54"/>
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        <balance>64042.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63186.030000</valUSD>
        <pctVal>0.0441138</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL J17813 FG 01/27 FIXED 3</title>
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          <isin value="US3128PXVE36"/>
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        <balance>48562.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47297.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q53756 FG 01/48 FIXED 4</title>
        <cusip>3132XWE64</cusip>
        <identifiers>
          <isin value="US3132XWE647"/>
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        <balance>106049.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102355.920000</valUSD>
        <pctVal>0.0714606</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS2678 FN 01/52 FIXED VAR</title>
        <cusip>3140XH6Q5</cusip>
        <identifiers>
          <isin value="US3140XH6Q57"/>
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        <balance>1187113.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1014433.980000</valUSD>
        <pctVal>0.708235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-01-01</maturityDt>
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          <annualizedRt>2.5</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA1447 G2 11/43 FIXED 3</title>
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          <isin value="US36179NTC29"/>
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        <balance>89226.730000</balance>
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        <curCd>USD</curCd>
        <valUSD>82265.330000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2043-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA5906 FR 09/51 FIXED 2.5</title>
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          <isin value="US3133KMR314"/>
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        <balance>418770.050000</balance>
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        <curCd>USD</curCd>
        <valUSD>360043.450000</valUSD>
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        <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>2.5</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2005-E</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1</title>
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          <isin value="US05946XXH15"/>
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        <balance>21075.290000</balance>
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        <curCd>USD</curCd>
        <valUSD>18331.650000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.0524</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A93101 FG 07/40 FIXED 5</title>
        <cusip>312941NS2</cusip>
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          <isin value="US312941NS20"/>
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        <balance>6932.920000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK3180 FN 03/48 FIXED 3.5</title>
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          <isin value="US3140HGRA72"/>
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        <balance>153186.050000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
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        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                    <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-4395.600000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2007-NC1</name>
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          <isin value="US3622MGAA63"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 686777 GN 06/38 FIXED 6.5</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 847995 FN 11/35 FLOATING VAR</title>
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          <isin value="US31408DC859"/>
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        <curCd>USD</curCd>
        <valUSD>3226.180000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.03</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 003636 G2 11/34 FIXED 5</title>
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          <isin value="US36202EBD04"/>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5</title>
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        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NA89 OTC ECAL FN 6.5 MAR24 103.15625 CALL</title>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8176 FN 04/33 FIXED 4.385</title>
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        <name>N/A</name>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>5379.520000</valUSD>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0102 FN 06/56 FIXED 3.5</title>
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          <isin value="US3140FXDG40"/>
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        <balance>27312.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24810.290000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G18641 FG 04/32 FIXED 3</title>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-58</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 58 AI</title>
        <cusip>3136APU75</cusip>
        <identifiers>
          <isin value="US3136APU752"/>
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        <balance>52658.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2239.160000</valUSD>
        <pctVal>0.0015633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2055-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140HSNN77"/>
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        <curCd>USD</curCd>
        <valUSD>487398.730000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0606263"/>
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        <balance>-5900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 579731 GN 08/32 FIXED 6.5</title>
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          <isin value="US36201DA857"/>
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        <curCd>USD</curCd>
        <valUSD>86.440000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q53034 FG 12/47 FIXED 3.5</title>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784433 G2 02/48 FIXED 3.5</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H03</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-4</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <curCd>USD</curCd>
        <valUSD>404432.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H14</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H14 FB</title>
        <cusip>38376RCF1</cusip>
        <identifiers>
          <isin value="US38376RCF10"/>
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        <balance>9974.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9933.100000</valUSD>
        <pctVal>0.0069349</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.86719</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 784601 G2 03/48 FIXED 3.5</title>
        <cusip>3622AAAA2</cusip>
        <identifiers>
          <isin value="US3622AAAA22"/>
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        <balance>579716.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>552601.760000</valUSD>
        <pctVal>0.385803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1Q0184 FH 11/36 FLOATING VAR</title>
        <cusip>3128S4FZ5</cusip>
        <identifiers>
          <isin value="US3128S4FZ52"/>
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        <balance>61883.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63674.320000</valUSD>
        <pctVal>0.0444547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.014</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.15500 10/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01Y1M3"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>97705.570000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01Y1M3-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.155000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>110770.570000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM2419 FN 02/50 FIXED VAR</title>
        <cusip>3140X5VM2</cusip>
        <identifiers>
          <isin value="US3140X5VM28"/>
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        <balance>951914.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>849665.870000</valUSD>
        <pctVal>0.593201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS2580 FN 06/29 FIXED 3</title>
        <cusip>3138WB2N4</cusip>
        <identifiers>
          <isin value="US3138WB2N46"/>
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        <balance>131339.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124853.430000</valUSD>
        <pctVal>0.0871674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NA30 OTC ECAL FN 6.0 MAR24 102.1875 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50057"/>
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        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8406.200000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-4656.200000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-47</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 47 BI</title>
        <cusip>3136AKTL7</cusip>
        <identifiers>
          <isin value="US3136AKTL74"/>
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        <balance>76353.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3979.280000</valUSD>
        <pctVal>0.0027782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G18644 FG 05/32 FIXED 3</title>
        <cusip>3128MMWE9</cusip>
        <identifiers>
          <isin value="US3128MMWE98"/>
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        <balance>214060.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205028.410000</valUSD>
        <pctVal>0.143142</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3465 FN 09/38 FIXED 4</title>
        <cusip>31418CZ72</cusip>
        <identifiers>
          <isin value="US31418CZ729"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66577.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4275 FN 01/27 FIXED 3</title>
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          <isin value="US31417AXD61"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3862 FN 01/38 FIXED 3</title>
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          <isin value="US3140H5JG74"/>
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        <balance>131760.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD</title>
        <cusip>38380QHX3</cusip>
        <identifiers>
          <isin value="US38380QHX34"/>
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        <balance>725799.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>732074.990000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-08-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM 2021-2400 MORTGAGE TRUST</name>
        <lei>N/A</lei>
        <title>COMM MORTGAGE TRUST COMM 2021 2400 A 144A</title>
        <cusip>20048FAA6</cusip>
        <identifiers>
          <isin value="US20048FAA66"/>
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        <balance>1438636.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1318970.490000</valUSD>
        <pctVal>0.92085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
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        <identifiers>
          <isin value="US01F0406102"/>
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        <balance>-6050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-5722685.560000</valUSD>
        <pctVal>-3.99534</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A36345 FG 08/35 FIXED 5</title>
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        <curCd>USD</curCd>
        <valUSD>13278.120000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-12</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AK0730 FN 02/42 FLOATING VAR</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36179QL821"/>
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        <balance>66228.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08851 FG 12/48 FIXED 3.5</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4463</name>
        <lei>N/A</lei>
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          <isin value="US3137BHGF88"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>N/A</name>
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        <name>FANNIE MAE REMICS 2015-64</name>
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      <invstOrSec>
        <name>FREDDIE MAC 2248</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4459</name>
        <lei>N/A</lei>
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        <name>FREDDIE MAC 3031</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 841837 FN 07/35 FLOATING VAR</title>
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          <isin value="US31407VHN82"/>
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        <balance>16686.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17204.760000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5</title>
        <cusip>3133KNX65</cusip>
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          <isin value="US3133KNX658"/>
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        <balance>195474.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167370.640000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4804</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4804 YZ</title>
        <cusip>3137FGM85</cusip>
        <identifiers>
          <isin value="US3137FGM854"/>
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        <balance>766056.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555210.360000</valUSD>
        <pctVal>0.387625</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175927R8 OTC ECAL FN 5.0 JAN24 98.46875 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH46717"/>
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        <balance>-3000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19960.500000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
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                  <isin value="US01F0506190"/>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-6132.370000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H20</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H20 FB</title>
        <cusip>38375B6F4</cusip>
        <identifiers>
          <isin value="US38375B6F40"/>
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        <balance>99994.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100315.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.43719</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL WN2384 FR 06/30 FIXED 4.4</title>
        <cusip>3132XGUJ3</cusip>
        <identifiers>
          <isin value="US3132XGUJ37"/>
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        <balance>82367.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81539.630000</valUSD>
        <pctVal>0.0569275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888382 FN 07/35 FLOATING VAR</title>
        <cusip>31410F6T7</cusip>
        <identifiers>
          <isin value="US31410F6T70"/>
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        <balance>11248.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11529.790000</valUSD>
        <pctVal>0.0080496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.469</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5</title>
        <cusip>3132A9UB1</cusip>
        <identifiers>
          <isin value="US3132A9UB15"/>
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        <balance>436438.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410263.310000</valUSD>
        <pctVal>0.286429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT6303 FN 06/43 FIXED 4</title>
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        <identifiers>
          <isin value="US3138WUAD59"/>
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        <balance>238735.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232317.230000</valUSD>
        <pctVal>0.162194</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>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NBB1 OTC ECAL FN 4.5 FEB24 97.8125 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50966"/>
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        <balance>-4500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-24475.500000</valUSD>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31400JFJ34"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3188 FN 11/32 FIXED 3</title>
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          <isin value="US31418CRJ52"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143742.010000</valUSD>
        <pctVal>0.100355</pctVal>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE8055 FN 04/47 FIXED 4</title>
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          <isin value="US3140FT5R83"/>
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        <balance>3410.220000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA1360 FN 03/48 FIXED 3.5</title>
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          <isin value="US3140Q8QN82"/>
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        <balance>316426.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>293016.680000</valUSD>
        <pctVal>0.204572</pctVal>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CB2913 FN 02/52 FIXED 3.5</title>
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          <isin value="US3140QNGX45"/>
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        <balance>480523.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>441132.380000</valUSD>
        <pctVal>0.30798</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831215 FN 01/36 FIXED 6</title>
        <cusip>31407HN85</cusip>
        <identifiers>
          <isin value="US31407HN859"/>
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        <balance>12815.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13391.670000</valUSD>
        <pctVal>0.0093495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS3595 FN 09/29 FIXED 2</title>
        <cusip>3138WC7H0</cusip>
        <identifiers>
          <isin value="US3138WC7H05"/>
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        <balance>5943.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5633.860000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <name>GREENPOINT MTGE FUNDING TR 2006-AR3</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
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        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Floating</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <title>FED HM LN PC POOL G03205 FG 07/35 FIXED 5.5</title>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8227 FN 06/33 FIXED 4.59</title>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QO5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4</title>
        <cusip>75114HAK3</cusip>
        <identifiers>
          <isin value="US75114HAK32"/>
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        <balance>66308.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51783.330000</valUSD>
        <pctVal>0.0361529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.01043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U34VA5 PIMCO FPPSWAPTION 5.0 PUT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002JZ16"/>
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        <balance>5500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2101.550000</valUSD>
        <pctVal>0.0014672</pctVal>
        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal_ID" value="SWU01VIN9"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal_ID" value="SWU01VIN9"/>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>5.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-06-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-6423.450000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256771 FN 06/37 FIXED 6.5</title>
        <cusip>31371NFL4</cusip>
        <identifiers>
          <isin value="US31371NFL47"/>
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        <balance>33304.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34926.940000</valUSD>
        <pctVal>0.0243845</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2002-25</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 25 FX</title>
        <cusip>31392C6T6</cusip>
        <identifiers>
          <isin value="US31392C6T69"/>
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        <balance>25431.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25747.190000</valUSD>
        <pctVal>0.0179756</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.45191</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 843014 FN 03/35 FLOATING VAR</title>
        <cusip>31407WSB0</cusip>
        <identifiers>
          <isin value="US31407WSB09"/>
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        <balance>890.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>872.400000</valUSD>
        <pctVal>0.0006091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.785</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3306 FN 03/48 FIXED 4</title>
        <cusip>31418CU85</cusip>
        <identifiers>
          <isin value="US31418CU852"/>
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        <balance>2295.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2216.010000</valUSD>
        <pctVal>0.0015471</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>FREDDIE MAC STRIPS 303</name>
        <lei>N/A</lei>
        <title>FREDDIEMAC STRIP FHS 303 C19</title>
        <cusip>31325UEH5</cusip>
        <identifiers>
          <isin value="US31325UEH59"/>
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        <balance>174845.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27539.260000</valUSD>
        <pctVal>0.0192268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4049 FN 12/41 FIXED 4</title>
        <cusip>31417AQB8</cusip>
        <identifiers>
          <isin value="US31417AQB88"/>
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        <balance>183365.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>178588.410000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BK8736 FN 01/49 FIXED 4.5</title>
        <cusip>3140HNV66</cusip>
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          <isin value="US3140HNV661"/>
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        <balance>49682.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48956.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-ACES 2016-M11</name>
        <lei>N/A</lei>
        <title>FANNIEMAE ACES FNA 2016 M11 AL</title>
        <cusip>3136AT5G5</cusip>
        <identifiers>
          <isin value="US3136AT5G51"/>
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        <balance>129922.450000</balance>
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        <curCd>USD</curCd>
        <valUSD>118230.880000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL J17834 FG 01/27 FIXED 3</title>
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          <isin value="US3128PXV379"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.50000 12/20/23-10Y CME</title>
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          <isin value="EZVDQJRGPL49"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G18666 FG 11/32 FIXED 3</title>
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          <isin value="US3128MMW419"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G02998 FG 05/37 FIXED 6</title>
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          <isin value="US3128M4UX90"/>
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        <balance>20950.590000</balance>
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        <curCd>USD</curCd>
        <valUSD>21918.930000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-2974</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2974 PF</title>
        <cusip>31395TXG4</cusip>
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        <balance>16450.200000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA5018 G2 02/48 FIXED 3</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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                    <name>N/A</name>
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            <unrealizedAppr>-2649.120000</unrealizedAppr>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 814952 FN 04/35 FLOATING VAR</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS0900 FN 07/43 FIXED VAR</title>
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          <isin value="US3140XGAA71"/>
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          <isLoanByFund>N</isLoanByFund>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 710838 GN 09/39 FIXED 4.5</title>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5</title>
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        <curCd>USD</curCd>
        <valUSD>163442.870000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1856</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1856 ZG</title>
        <cusip>3133T7BC2</cusip>
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          <isin value="US3133T7BC25"/>
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        <balance>333.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>338.280000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31413HQS03"/>
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        <balance>28243.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29564.720000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C</title>
        <cusip>23243AAC0</cusip>
        <identifiers>
          <isin value="US23243AAC09"/>
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        <balance>283110.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>206846.030000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL U90111 FG 09/42 FIXED 4</title>
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        <identifiers>
          <isin value="US3132H3DQ36"/>
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        <balance>416074.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>405046.030000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY2</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A</title>
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        <identifiers>
          <isin value="US89177HAA05"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-4832</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4832 FW</title>
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          <isin value="US3137FHRY13"/>
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        <balance>256118.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.78204</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG4683 FR 06/53 FIXED 5</title>
        <cusip>3133C5FY2</cusip>
        <identifiers>
          <isin value="US3133C5FY23"/>
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        <balance>190524.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190250.760000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-1</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 1 SJ</title>
        <cusip>3136AMLP2</cusip>
        <identifiers>
          <isin value="US3136AMLP27"/>
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        <balance>328291.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A</title>
        <cusip>17311BAS2</cusip>
        <identifiers>
          <isin value="US17311BAS25"/>
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        <balance>557415.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>311380.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.79043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA2964 FN 04/32 FIXED 3</title>
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          <isin value="US31418CJJ45"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4091</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4091 VS</title>
        <cusip>3137ATGL0</cusip>
        <identifiers>
          <isin value="US3137ATGL04"/>
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        <balance>118261.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88830.750000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-42</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 42 SA</title>
        <cusip>3136AKPR8</cusip>
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          <isin value="US3136AKPR80"/>
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        <balance>58505.980000</balance>
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        <curCd>USD</curCd>
        <valUSD>2658.370000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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          <isin value="US21H0206183"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-J</name>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
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        <name>GNMA PASS THRU POOLS</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-02-13</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G18632 FG 02/32 FIXED 3</title>
        <cusip>3128MMV26</cusip>
        <identifiers>
          <isin value="US3128MMV262"/>
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        <balance>61491.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58948.270000</valUSD>
        <pctVal>0.0411552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08273 FG 06/38 FIXED 5.5</title>
        <cusip>3128MJJT8</cusip>
        <identifiers>
          <isin value="US3128MJJT85"/>
        </identifiers>
        <balance>24890.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25679.530000</valUSD>
        <pctVal>0.0179284</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2002-G</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A3</title>
        <cusip>06050HKR8</cusip>
        <identifiers>
          <isin value="US06050HKR83"/>
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        <balance>791.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>729.860000</valUSD>
        <pctVal>0.0005096</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75001</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U27TA2 PIMCO SWAPTION 4.1 PUT USD 20240201</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP00278B0"/>
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        <balance>11000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>57428.800000</valUSD>
        <pctVal>0.0400944</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/4.10000 02/05/24-1Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OJI5"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal_ID" value="SWU01OJI5"/>
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                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.100000"/>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>4.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-01</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>32541.300000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NBD7 OTC ECAL FN 5.0 FEB24 100.8125 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH50982"/>
        </identifiers>
        <balance>-3500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6217.050000</valUSD>
        <pctVal>-0.0043405</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 5.0% FEB 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0506273"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.810000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-338.140000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A88029 FG 08/39 FIXED 6</title>
        <cusip>3129344N9</cusip>
        <identifiers>
          <isin value="US3129344N91"/>
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        <balance>10779.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11234.220000</valUSD>
        <pctVal>0.0078433</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MTGE P/T 2007-OA1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA1 2A</title>
        <cusip>93935NAB0</cusip>
        <identifiers>
          <isin value="US93935NAB01"/>
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        <balance>108115.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83091.920000</valUSD>
        <pctVal>0.0580113</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.7318</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM2333 FN 02/50 FIXED VAR</title>
        <cusip>3140X5SX2</cusip>
        <identifiers>
          <isin value="US3140X5SX20"/>
        </identifiers>
        <balance>46259.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43360.450000</valUSD>
        <pctVal>0.0302724</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AP0116 GN 10/45 FIXED 3</title>
        <cusip>36188KDV2</cusip>
        <identifiers>
          <isin value="US36188KDV26"/>
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        <balance>28148.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25293.690000</valUSD>
        <pctVal>0.017659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ1565 FN 10/41 FIXED 4</title>
        <cusip>3138ASW32</cusip>
        <identifiers>
          <isin value="US3138ASW329"/>
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        <balance>645447.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>627217.570000</valUSD>
        <pctVal>0.437897</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QG8492 FR 08/53 FIXED 5</title>
        <cusip>3133C9NH2</cusip>
        <identifiers>
          <isin value="US3133C9NH20"/>
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        <balance>162925.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>162061.660000</valUSD>
        <pctVal>0.113145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFRF USD SF+26.161/1.50 8/04/23-2Y* CME</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01PUK4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>798798.810000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <other otherDesc="Internal_ID" value="SWU01PUK4-USD-SOFR-COMPOUND"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="26.161000" pmntAmt="0.000000">
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            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5</title>
        <cusip>3133KNYR8</cusip>
        <identifiers>
          <isin value="US3133KNYR87"/>
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        <balance>66414.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56795.780000</valUSD>
        <pctVal>0.0396524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</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>IMS ECUADORIAN MORTGAGE 2021-1 TRUST</name>
        <lei>N/A</lei>
        <title>IMS ECUADORIAN MORTAGAGE TRUST IMSVA 2021 1 GA 144A</title>
        <cusip>44970EAA1</cusip>
        <identifiers>
          <isin value="US44970EAA10"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>749345.600000</valUSD>
        <pctVal>0.523162</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.4</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AB2761 GN 08/42 FIXED 3.5</title>
        <cusip>36178NB65</cusip>
        <identifiers>
          <isin value="US36178NB656"/>
        </identifiers>
        <balance>9476.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8954.610000</valUSD>
        <pctVal>0.0062517</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-15</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL T62071 FG 08/46 FIXED 3</title>
        <cusip>3128S3JQ3</cusip>
        <identifiers>
          <isin value="US3128S3JQ35"/>
        </identifiers>
        <balance>134911.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120226.610000</valUSD>
        <pctVal>0.0839372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-01</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F012619</cusip>
        <identifiers>
          <isin value="US01F0126197"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>701156.250000</valUSD>
        <pctVal>0.489518</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735355 FN 02/35 FLOATING VAR</title>
        <cusip>31402Q5Q0</cusip>
        <identifiers>
          <isin value="US31402Q5Q03"/>
        </identifiers>
        <balance>3075.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3156.570000</valUSD>
        <pctVal>0.0022038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.897</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 5</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 5 A</title>
        <cusip>81743WAA9</cusip>
        <identifiers>
          <isin value="US81743WAA99"/>
        </identifiers>
        <balance>10685.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10109.470000</valUSD>
        <pctVal>0.007058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17023</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 783096 FH 04/35 FLOATING VAR</title>
        <cusip>31349UNM6</cusip>
        <identifiers>
          <isin value="US31349UNM61"/>
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        <balance>6092.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6223.880000</valUSD>
        <pctVal>0.0043453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.118</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5</title>
        <cusip>3128LXFG0</cusip>
        <identifiers>
          <isin value="US3128LXFG04"/>
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        <balance>312.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>318.850000</valUSD>
        <pctVal>0.0002226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U1UZA5 PIMCO SWAPTION 2.875 CALL USD 202401</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0024N53"/>
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        <balance>100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.010000</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/2.87500 01/05/24-10Y LCH</title>
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                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01NT70"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal_ID" value="SWU01NT70"/>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.875000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <shareNo>N/A</shareNo>
            <exercisePrice>2.880000</exercisePrice>
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            <expDt>2024-01-03</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2679.990000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H23</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H23 TA</title>
        <cusip>38375B8J4</cusip>
        <identifiers>
          <isin value="US38375B8J44"/>
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        <balance>108412.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108335.660000</valUSD>
        <pctVal>0.0756354</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.15719</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A81047 FG 08/38 FIXED 6</title>
        <cusip>312927EU6</cusip>
        <identifiers>
          <isin value="US312927EU66"/>
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        <balance>16308.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17043.560000</valUSD>
        <pctVal>0.0118991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC</name>
        <lei>N/A</lei>
        <title>PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR</title>
        <cusip>74040YAB8</cusip>
        <identifiers>
          <isin value="US74040YAB83"/>
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        <balance>82337.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78220.230000</valUSD>
        <pctVal>0.0546101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.48174</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0093 G2 05/42 FIXED 6</title>
        <cusip>36179MC65</cusip>
        <identifiers>
          <isin value="US36179MC654"/>
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        <balance>24395.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25758.020000</valUSD>
        <pctVal>0.0179832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 891584 FN 07/36 FIXED 6.5</title>
        <cusip>31410MRD4</cusip>
        <identifiers>
          <isin value="US31410MRD47"/>
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        <balance>10933.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11539.160000</valUSD>
        <pctVal>0.0080562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008505 G2 09/24 FLOATING VAR</title>
        <cusip>36202KNW1</cusip>
        <identifiers>
          <isin value="US36202KNW17"/>
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        <balance>184.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183.390000</valUSD>
        <pctVal>0.000128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A74896 FG 03/38 FIXED 5</title>
        <cusip>3128L8NM3</cusip>
        <identifiers>
          <isin value="US3128L8NM33"/>
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        <balance>54286.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55266.620000</valUSD>
        <pctVal>0.0385848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-01</maturityDt>
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        <name>WASHINGTON MUTUAL 2005-AR19</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>CSMC 2021-INV1 TRUST</name>
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      <invstOrSec>
        <name>CHEVY CHASE MTGE FUNDING CORP 2004-1A</name>
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      <invstOrSec>
        <name>AMORTIZING RESIDENTIAL COLLAT 2001-BC6</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US3140J9ET43"/>
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        <curCd>USD</curCd>
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        <name>COUNTRYWIDE HOME LOANS 2006-3</name>
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        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA6599 G2 04/50 FIXED 3</title>
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          <isin value="US36179VKL35"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-5</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 5 EZ</title>
        <cusip>3136ABJ46</cusip>
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          <isin value="US3136ABJ466"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q54427 FG 02/48 FIXED 4</title>
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          <isin value="US3132XW4M00"/>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZA5434 FR 05/48 FIXED 3.5</title>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-1</name>
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          <isin value="US41161PA868"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA</title>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q54654 FG 03/48 FIXED 4</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 3962</name>
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          <isin value="US3137AJKA11"/>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A79234 FG 05/36 FIXED 5</title>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-54</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 54 SK</title>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06962 FG 05/40 FIXED 6</title>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <title>GNMA II TBA 30 YR 5 JUMBOS</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
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        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-43</name>
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        <name>FREDDIE MAC-3325</name>
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        <name>FANNIE MAE REMICS 2011-18</name>
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      <invstOrSec>
        <name>N/A</name>
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            <expDt>2024-01-09</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-37062.250000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888115 FN 05/35 FLOATING VAR</title>
        <cusip>31410FVG7</cusip>
        <identifiers>
          <isin value="US31410FVG70"/>
        </identifiers>
        <balance>17427.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17935.120000</valUSD>
        <pctVal>0.0125215</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.003</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM1514 FN 09/49 FIXED VAR</title>
        <cusip>3140X4VG8</cusip>
        <identifiers>
          <isin value="US3140X4VG84"/>
        </identifiers>
        <balance>274261.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246001.340000</valUSD>
        <pctVal>0.171748</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA3718 FN 06/49 FIXED 4</title>
        <cusip>3140QBDY1</cusip>
        <identifiers>
          <isin value="US3140QBDY17"/>
        </identifiers>
        <balance>644837.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>619513.950000</valUSD>
        <pctVal>0.432519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BS8096 FN 04/33 FIXED 4.7</title>
        <cusip>3140LJ7J9</cusip>
        <identifiers>
          <isin value="US3140LJ7J98"/>
        </identifiers>
        <balance>188000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189680.880000</valUSD>
        <pctVal>0.132427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4588</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4588 PI</title>
        <cusip>3137BQEL7</cusip>
        <identifiers>
          <isin value="US3137BQEL73"/>
        </identifiers>
        <balance>747453.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109569.460000</valUSD>
        <pctVal>0.0764968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA1372 G2 03/43 FIXED 2</title>
        <cusip>36179NQZ4</cusip>
        <identifiers>
          <isin value="US36179NQZ41"/>
        </identifiers>
        <balance>61958.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52466.650000</valUSD>
        <pctVal>0.03663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-20</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 REMICS 3635</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3635 IB</title>
        <cusip>31398WJ21</cusip>
        <identifiers>
          <isin value="US31398WJ212"/>
        </identifiers>
        <balance>14677.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>765.380000</valUSD>
        <pctVal>0.0005344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL U91696 FG 07/43 FIXED 4</title>
        <cusip>3132HBXZ3</cusip>
        <identifiers>
          <isin value="US3132HBXZ39"/>
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        <balance>81320.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79164.310000</valUSD>
        <pctVal>0.0552692</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NAB2 OTC ECAL FN 6.0 MAR24 103.328125 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIH49893"/>
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        <balance>1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2118.900000</valUSD>
        <pctVal>0.0014793</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 6.0% MAR 30YR</issueTitle>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.330000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-03-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1884.520000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U3RNA3 PIMCO SWAPTION 4.265 PUT USD 2024081</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP002Q4H9"/>
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        <balance>400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2016.880000</valUSD>
        <pctVal>0.0014081</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
                    <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/4.26500 08/21/24-7Y LCH</title>
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                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01X1W3"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>4.260000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5382.120000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 804965 FN 12/34 FLOATING VAR</title>
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          <isin value="US31406BJJ08"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2992.260000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>DEUTSCHE BANK REPO REPO</title>
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          <other otherDesc="Internal ID" value="99FYXY002"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1693375.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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          <maturityDt>2024-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
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              <invstCat>UST</invstCat>
            </repurchaseCollateral>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5</title>
        <cusip>3128M7AX4</cusip>
        <identifiers>
          <isin value="US3128M7AX42"/>
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        <balance>104802.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108120.370000</valUSD>
        <pctVal>0.0754851</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 676927 GN 04/38 FIXED 5.5</title>
        <cusip>36295QA42</cusip>
        <identifiers>
          <isin value="US36295QA422"/>
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        <balance>32502.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32867.360000</valUSD>
        <pctVal>0.0229466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B</title>
        <cusip>12669FY31</cusip>
        <identifiers>
          <isin value="US12669FY312"/>
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        <balance>46439.480000</balance>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4068</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03268 FG 09/37 FIXED 6</title>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US312938NJ83"/>
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        <payoffProfile>Long</payoffProfile>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A86255 FG 05/39 FIXED 5</title>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE INTEREST STRIP 386</name>
        <lei>N/A</lei>
        <title>FANNIEMAE STRIP FNS 386 14</title>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G30462 FG 08/26 FIXED 6</title>
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          <isin value="US3128CUQP46"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BX4147 FN 12/52 FIXED 6</title>
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          <isin value="US3140N8TD05"/>
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        <balance>112018.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-81</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2015 81 NZ</title>
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        <identifiers>
          <isin value="US3136AQPM63"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2007-33</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 33 MF</title>
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          <isin value="US31396VGE20"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AK2411 FN 02/42 FIXED 4</title>
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          <isin value="US3138E6VD55"/>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3138XZFG14"/>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5</title>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G03392 FG 10/37 FIXED 6</title>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4487 FN 02/27 FIXED 3</title>
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          <isin value="US31417A6Z78"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <annualizedRt>3</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A50771 FG 07/36 FIXED 6</title>
        <cusip>3128KC2C0</cusip>
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          <isin value="US3128KC2C01"/>
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        <curCd>USD</curCd>
        <valUSD>1847.950000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA0782 G2 02/43 FIXED 3</title>
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          <isin value="US36179M2P47"/>
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        <balance>436746.800000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140QSUT63"/>
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        <balance>2918724.470000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QF6622 FR 02/53 FIXED 5</title>
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          <isin value="US3133BULB17"/>
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        <balance>746003.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>739816.650000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3138XWM969"/>
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        <balance>77721.970000</balance>
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        <curCd>USD</curCd>
        <valUSD>74960.080000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
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                <issuerName>UMBS PASS THRU POOLS</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3622A2U914"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2046-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1994-15</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1994 15 F</title>
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        <balance>216.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <curCd>USD</curCd>
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        <name>FNMA PASS THRU POOLS</name>
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            <writtenOrPur>Purchased</writtenOrPur>
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                    <lei>N/A</lei>
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                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>2.670000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-26193.000000</unrealizedAppr>
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        </derivativeInfo>
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      </invstOrSec>
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        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <balance>39063.210000</balance>
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        <curCd>USD</curCd>
        <valUSD>35970.790000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <balance>107217.510000</balance>
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        <curCd>USD</curCd>
        <valUSD>91689.340000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR6</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR6 A4</title>
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          <isin value="US39538BAG95"/>
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        <balance>338516.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246484.150000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5180 FR 08/42 FIXED 3</title>
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        <balance>1973.730000</balance>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31410DXX38"/>
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        <curCd>USD</curCd>
        <valUSD>14032.420000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2019-62</name>
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        <title>FANNIE MAE FNR 2019 62 SN</title>
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          <isin value="US3136B62S11"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022618</cusip>
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          <isin value="US01F0226187"/>
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        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1786804.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1</title>
        <cusip>12667GCB7</cusip>
        <identifiers>
          <isin value="US12667GCB77"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160277.340000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/4.12250 10/06/23-7Y LCH</title>
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          <other otherDesc="Internal ID" value="SWU01Y0W2"/>
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        <curCd>USD</curCd>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>27935.050000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZA6528 FR 04/49 FIXED 4</title>
        <cusip>31329QHD6</cusip>
        <identifiers>
          <isin value="US31329QHD60"/>
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        <balance>327129.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>314482.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2005-102</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 102 AS</title>
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        <identifiers>
          <isin value="US31394UHW53"/>
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        <balance>404987.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32854.830000</valUSD>
        <pctVal>0.0229379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13309</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 4367</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4367 GS</title>
        <cusip>3137BCL55</cusip>
        <identifiers>
          <isin value="US3137BCL557"/>
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        <balance>14400.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>947.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2007-FM1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM1 A1</title>
        <cusip>3622MAAA9</cusip>
        <identifiers>
          <isin value="US3622MAAA93"/>
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        <balance>809247.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>425537.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.61043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F050627</cusip>
        <identifiers>
          <isin value="US01F0506273"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2177656.270000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7183 FN 01/36 FLOATING VAR</title>
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          <isin value="US3138EP6V16"/>
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        <balance>65826.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67435.260000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2018-37</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2018 37 BC</title>
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          <isin value="US3136B17E88"/>
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        <balance>14795.860000</balance>
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        <curCd>USD</curCd>
        <valUSD>13863.420000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AR4353 FN 07/28 FIXED 2</title>
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          <isin value="US3138W1ZT76"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2019-10</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA5059 FN 06/43 FIXED 4.5</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FS1910 FN 01/44 FIXED VAR</title>
        <cusip>3140XHDQ7</cusip>
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          <isin value="US3140XHDQ79"/>
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        <balance>41842.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39628.160000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 848812 FH 10/39 FLOATING VAR</title>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB4280 FN 01/27 FIXED 3</title>
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          <isin value="US31417AXJ32"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>AEGIS ASSET BACKED SEC TR 2005-1</name>
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        <title>AEGIS ASSET BACKED SECURITIES AABST 2005 1 M4</title>
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        <balance>272773.720000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5173 FR 08/42 FIXED 3</title>
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          <isin value="US3133KYXA27"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <balance>141995.270000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H27</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-11</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <delta>XXXX</delta>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD2986 FR 09/52 FIXED 3.5</title>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC4389 FN 07/39 FIXED 4</title>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
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      <invstOrSec>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2021-LTV6</name>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 896504 FN 08/36 FIXED 6.5</title>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-SMRT</name>
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        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 SMRT A 144A</title>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773246 FN 02/35 FLOATING VAR</title>
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        <name>GNMA PASS THRU POOLS</name>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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                    <name>N/A</name>
                    <lei>N/A</lei>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1177.890000</unrealizedAppr>
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        <securityLending>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Z40004 FG 08/36 FIXED 6</title>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2013-47</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2013 47 MS</title>
        <cusip>3136AEBH9</cusip>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LA HIPOTECARIA PANAMANIAN MORTGAGE TRUST 2014-1A</name>
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        <title>LA HIPOTECARIA SA LHIPO 2014 1A A1 144A</title>
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      <invstOrSec>
        <name>GNRT-3A</name>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FNMA PASS THRU POOLS</name>
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            <exercisePrice>3.010000</exercisePrice>
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        <name>FHLMC PASS THRU POOLS</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FREDDIE MAC 4836</name>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        <name>GNMA PASS THRU POOLS</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2021-3</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2021 3 TI</title>
        <cusip>3136BDR42</cusip>
        <identifiers>
          <isin value="US3136BDR422"/>
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        <balance>599531.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97049.490000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA4632 FN 06/42 FIXED 3</title>
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          <isin value="US31418EEE68"/>
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        <balance>168557.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM4521 FN 08/38 FIXED VAR</title>
        <cusip>3140J9AX9</cusip>
        <identifiers>
          <isin value="US3140J9AX90"/>
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        <balance>63796.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62183.860000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0224109"/>
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        <balance>850000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>783261.720000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4338</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4338 SB</title>
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          <isin value="US3137BB7D64"/>
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        <balance>29098.590000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020620</cusip>
        <identifiers>
          <isin value="US01F0206205"/>
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        <balance>21700000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-02-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 783028 FH 02/35 FLOATING VAR</title>
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          <isin value="US31349ULH94"/>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928223 FN 04/37 FIXED 6.5</title>
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          <isin value="US31412LG871"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU6030 FN 09/33 FIXED 4.5</title>
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          <isin value="US3138X5VY02"/>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>FANNIE MAE REMICS 2012-77</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2012 77 IO</title>
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          <isin value="US3136A6H986"/>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AR3040 FN 01/28 FIXED 2</title>
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          <isin value="US3138W0LW78"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA4718 G2 09/47 FIXED 3</title>
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          <isin value="US36179TG338"/>
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        <balance>25076.620000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR7</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.67043</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-45</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 45 SA</title>
        <cusip>3136AKUC5</cusip>
        <identifiers>
          <isin value="US3136AKUC56"/>
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        <balance>35062.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1766.540000</valUSD>
        <pctVal>0.0012333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140GS2M32"/>
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        <balance>116124.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111995.860000</valUSD>
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        <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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7589 FN 10/45 FIXED VAR</title>
        <cusip>3138EQNF5</cusip>
        <identifiers>
          <isin value="US3138EQNF50"/>
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        <balance>3911.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3671.030000</valUSD>
        <pctVal>0.002563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 931155 FN 05/39 FIXED 4</title>
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          <isin value="US31412PQG99"/>
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        <balance>264325.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>257875.510000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN1152 FN 11/48 FIXED 4.5</title>
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          <isin value="US3140JHH635"/>
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        <balance>64442.600000</balance>
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        <curCd>USD</curCd>
        <valUSD>63415.240000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2006-QO9</name>
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        <cusip>75114PAC3</cusip>
        <identifiers>
          <isin value="US75114PAC32"/>
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        <balance>89171.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78475.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.87043</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE</title>
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          <isin value="US01F0506190"/>
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        <balance>14500000.000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U3ERA8 PIMCO SWAPTION 5.5 PUT USD 20250121</title>
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          <other otherDesc="Internal ID" value="OP002MKJ6"/>
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        <balance>10900000.000000</balance>
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        <curCd>USD</curCd>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-88</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3138ERM647"/>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <isin value="US3138AYC642"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR10</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C</title>
        <cusip>92922FWV6</cusip>
        <identifiers>
          <isin value="US92922FWV65"/>
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        <balance>33730.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30579.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RFR USD SOFR/3.74000 07/10/23-7Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01VYQ4"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2369.080000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.740000"/>
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            <upfrontRcpt>-1120.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>350000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3489.080000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5</title>
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          <isin value="US3133KKVH93"/>
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        <balance>713835.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>609654.120000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3090 FN 08/32 FIXED 3</title>
        <cusip>31418CNG5</cusip>
        <identifiers>
          <isin value="US31418CNG59"/>
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        <balance>74924.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71608.740000</valUSD>
        <pctVal>0.0499942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31405VEG86"/>
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        <balance>452.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>445.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B7241 FH 08/36 FLOATING VAR</title>
        <cusip>3128QPNH1</cusip>
        <identifiers>
          <isin value="US3128QPNH16"/>
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        <balance>4222.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4307.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.457</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB1138 FN 06/40 FIXED 4</title>
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        <identifiers>
          <isin value="US31416WHQ87"/>
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        <balance>7823.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7632.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 794277 FN 09/34 FIXED 5.5</title>
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          <isin value="US31405NM283"/>
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        <balance>28457.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29315.730000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750NBR6 OTC EPUT FN 5.0 JAN24 98.8125 PUT</title>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <shareNo>N/A</shareNo>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4255</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <name>FHLMC PASS THRU POOLS</name>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QE0382 FR 04/52 FIXED 2.5</title>
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        <curCd>USD</curCd>
        <valUSD>23600.700000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3140GNKM44"/>
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        <balance>135816.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131159.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BB0604 G2 07/47 FIXED 3.5</title>
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        <balance>14327.530000</balance>
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        <curCd>USD</curCd>
        <valUSD>13517.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3617BTBB74"/>
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        <balance>13319.180000</balance>
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        <curCd>USD</curCd>
        <valUSD>12586.740000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q13410 FG 12/42 FIXED 3</title>
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          <isin value="US3132HPYF51"/>
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        <balance>50866.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS1382 FN 07/28 FIXED 2</title>
        <cusip>3138WARC3</cusip>
        <identifiers>
          <isin value="US3138WARC30"/>
        </identifiers>
        <balance>3850.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3607.970000</valUSD>
        <pctVal>0.0025189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 816593 FN 02/35 FLOATING VAR</title>
        <cusip>31406QGA9</cusip>
        <identifiers>
          <isin value="US31406QGA94"/>
        </identifiers>
        <balance>3718.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3772.730000</valUSD>
        <pctVal>0.002634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.288</annualizedRt>
          <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 REMICS 4398</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4398 NZ</title>
        <cusip>3137BEPQ1</cusip>
        <identifiers>
          <isin value="US3137BEPQ12"/>
        </identifiers>
        <balance>844488.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>710637.370000</valUSD>
        <pctVal>0.496137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-15</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS4009 FN 12/39 FIXED 3.5</title>
        <cusip>3138WDN31</cusip>
        <identifiers>
          <isin value="US3138WDN316"/>
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        <balance>106391.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101050.440000</valUSD>
        <pctVal>0.0705492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-01</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698378 GN 07/39 FIXED 4.5</title>
        <cusip>36296Q2K4</cusip>
        <identifiers>
          <isin value="US36296Q2K45"/>
        </identifiers>
        <balance>13723.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13683.150000</valUSD>
        <pctVal>0.009553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G06067 FG 10/39 FIXED 5</title>
        <cusip>3128M8CC6</cusip>
        <identifiers>
          <isin value="US3128M8CC69"/>
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        <balance>270407.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>275280.660000</valUSD>
        <pctVal>0.192189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-01</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032617</cusip>
        <identifiers>
          <isin value="US01F0326177"/>
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        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3211250.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-01-16</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>N/A</name>
        <lei>N/A</lei>
        <title>317U4PIA2 PIMCO SWAPTION 3.705 CALL USD 202401</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="OP0030HL2"/>
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        <balance>2900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>44999.590000</valUSD>
        <pctVal>0.0314168</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <other otherDesc="Internal_ID" value="SWU01ZTA6"/>
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                    <curCd>USD</curCd>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.705000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
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                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.710000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>32094.590000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BA7937 GN 06/47 FIXED 4</title>
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          <isin value="US3617ALZA19"/>
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        <balance>43574.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42093.130000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL BC1102 GN 07/47 FIXED 4</title>
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          <isin value="US3617B4GK72"/>
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        <balance>55362.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53480.860000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AZ8592 GN 04/47 FIXED 4</title>
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          <isin value="US36197MRM28"/>
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        <curCd>USD</curCd>
        <valUSD>76016.350000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H10</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H10 FS</title>
        <cusip>38375BU83</cusip>
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          <isin value="US38375BU834"/>
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        <balance>846459.080000</balance>
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        <curCd>USD</curCd>
        <valUSD>848876.230000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ6054 FN 12/26 FIXED 3</title>
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          <isin value="US3138AXWQ02"/>
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        <balance>24293.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23649.680000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5162 FR 06/42 FIXED 3</title>
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          <isin value="US3133KYWX39"/>
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        <balance>1004656.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>917304.130000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U3RCA5 PIMCO SWAPTION 3.5 CALL USD 20240819</title>
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          <other otherDesc="Internal ID" value="OP002Q1R0"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>3</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3128PXVT05"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31404Q5M78"/>
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        <balance>74751.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2015-50</name>
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        <title>FANNIE MAE FNR 2015 50 SB</title>
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        <balance>190355.020000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIGROUP INC.</counterpartyName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <balance>787634.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>784676.550000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31417GQT66"/>
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        <curCd>USD</curCd>
        <valUSD>875.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 4989</name>
        <lei>N/A</lei>
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          <isin value="US3137FUKQ62"/>
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        <balance>817831.420000</balance>
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        <curCd>USD</curCd>
        <valUSD>807034.160000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.24498</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOVERNMENT NATIONAL MTGE ASSOC 2005-58</name>
        <lei>N/A</lei>
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          <isin value="US38374LM577"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-20</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HSI ASSET SECUR CORP TRUST 2007-HE1</name>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211613.910000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 981444 FN 09/38 FIXED 6</title>
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          <isin value="US31415AZH75"/>
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        <curCd>USD</curCd>
        <valUSD>31346.440000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 MONTH SOFR FUT  MAR24 XCME 20240618</title>
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          <ticker value="SFRH4"/>
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        <balance>380.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE9075 FN 05/37 FIXED 4</title>
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          <isin value="US3140FVCM60"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL BE5659 G2 04/48 FIXED 4</title>
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          <isin value="US3617G0JC56"/>
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        <balance>172430.650000</balance>
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        <curCd>USD</curCd>
        <valUSD>164967.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 815321 FN 01/35 FLOATING VAR</title>
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          <isin value="US31406NYS79"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Floating</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 3 JUMBOS</title>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3060 FN 07/32 FIXED 3</title>
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        <assetCat>ABS-MBS</assetCat>
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          <couponKind>Fixed</couponKind>
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        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180</name>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 799812 FN 11/34 FLOATING VAR</title>
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        <units>PA</units>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 665366 FN 08/27 FLOATING VAR</title>
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        <balance>9582.440000</balance>
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        <curCd>USD</curCd>
        <valUSD>9576.440000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>6.97</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4RBA5 PIMCO SWAPTION 3.905 PUT USD 2024020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP00311L7"/>
        </identifiers>
        <balance>1300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2104.960000</valUSD>
        <pctVal>0.0014696</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/3.90500 02/08/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU020AH7"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/3.90500 02/08/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU020AH7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.905000"/>
                  <terminationDt>2031-02-08</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>3.900000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-02-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2575.040000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U4JSA5 PIMCO SWAPTION 4.31 PUT USD 20240108</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP002YJK9"/>
        </identifiers>
        <balance>1100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.880000</valUSD>
        <pctVal>0.0000006</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Bank of America, National Association</counterpartyName>
                    <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/4.31000 01/10/24-7Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01Z678"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/4.31000 01/10/24-7Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01Z678"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="4.310000"/>
                  <terminationDt>2031-01-10</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>4.310000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8029.120000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928590 FN 07/37 FIXED 6.5</title>
        <cusip>31412LUP3</cusip>
        <identifiers>
          <isin value="US31412LUP39"/>
        </identifiers>
        <balance>25494.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26856.970000</valUSD>
        <pctVal>0.0187504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U23WA7 PIMCO SWAPTION 1.5 CALL USD 20240124</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0026JQ7"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.030000</valUSD>
        <pctVal>0</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Bank of America, National Association</counterpartyName>
                    <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>RFR USD SOFR/1.50000 01/26/24-10Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal_ID" value="SWU01OD59"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>RFR USD SOFR/1.50000 01/26/24-10Y LCH</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal_ID" value="SWU01OD59"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.500000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="United States SOFR Secured Overnight Financing Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2034-01-26</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.500000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-294.970000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2014-45</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2014 45 YB</title>
        <cusip>3136AKTW3</cusip>
        <identifiers>
          <isin value="US3136AKTW30"/>
        </identifiers>
        <balance>1436000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1318313.630000</valUSD>
        <pctVal>0.920391</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-08-25</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>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>

      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2024-02-21</ncom:dateSigned>
      <ncom:nameOfApplicant>PIMCO Funds</ncom:nameOfApplicant>
      <ncom:signature>/s/ Bijal Parikh</ncom:signature>
      <ncom:signerName>Bijal Parikh</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
